Time Consistent Multi-period Worst-Case Risk Measure in Robust Portfolio Selection  

作　　者：aJia Liu Zhi-Ping Chen Yong-Chang Hui 

机构地区：[1]Department of Computing Science,School of Mathematics and Statistics,Xi’an Jiaotong University,Xi’an 710049,China

出　　处：《Journal of the Operations Research Society of China》2018年第1期139-158,共20页中国运筹学会会刊（英文）

基　　金：This research was supported by the National Natural Science Foundation of China(Nos.71371152 and 11571270).

摘　　要：In this paper,we first construct a time consistent multi-period worst-case risk measure,which measures the dynamic investment risk period-wise from a distributionally robust perspective.Under the usually adopted uncertainty set,we derive the explicit optimal investment strategy for the multi-period robust portfolio selection problem under the multi-period worst-case risk measure.Empirical results demonstrate that the portfolio selection model under the proposed risk measure is a good complement to existing multi-period robust portfolio selection models using the adjustable robust approach.

关 键 词：Distributionally robust optimization Multi-period risk measure Dynamic portfolio selection Conditional value-at-risk 

分 类 号：TP3[自动化与计算机技术—计算机科学与技术]