基于最坏条件风险值的物流投资组合模型

Study on Logistics Investment Portfolio Mode Based on Worst Case Value-at-risk

针对传统物流投资组合问题中将物流投资回报假设为一个已知概率分布的随机变量的局限性,假定物流投资回报的概率分布是未知的,但属于一个由各种可能分布组成的多面体集合。应用最坏条件风险值建立了物流投资组合问题的鲁棒条件风险值模型。数值实验的结果证明了模型的有效性和实用性。

In this paper, in the view of the limitation of the traditional solution of the logistics investment portfolio problem which treated the returns of logistics investment as a stochastic variable with known probabilistic distribution, we assumed that the probabilistic distribution of the returns of logistics investment was not known but belonged to a polyhedral set composed by multiple possible distributions. Then we applied the worst case value-at-risk to build the robust conditional value-at-risk model of the logistics investment portfolio problem and then through a numerical example proved the effectiveness and practicality of the model.