基于扭曲风险度量的鲁棒投资策略  

Worst-Case Distortion Risk Measure with Application to Robust Portfolio Selection

作　　者：闫雪晨 李璐 王雅实[3] YAN Xuechen;LI Lu;WANG Yashi(Department of Statistics and Finance,School of Management,University of Science and Technology of China,Hefei,230026,China;Postdoctoral Programme of Bank of Communications,Shanghai,200120,China;School of Information Management for Law,China University of Political Science and Law,Beijing,100027,China)

机构地区：[1]中国科学技术大学管理学院统计与金融系,合肥230026 [2]交通银行博士后科研工作站,上海200120 [3]中国政法大学法治信息管理学院,北京100027

出　　处：《应用概率统计》2024年第1期122-138,共17页Chinese Journal of Applied Probability and Statistics

基　　金：supported by Qian Duansheng Distinguished Scholar Support Program of China University of Political Science and Law (Grant No. DSJCXZ180403)。

摘　　要：投资组合策略在很大程度上取决于损失的基本分布.因此当损失的分布信息只能通过有限的数据样本来观察时,投资组合策略模型的稳健性是至关重要的.假设损失的基本分布具有已知的均值和方差且位于一个以经验分布为中心,以Wasserstein距离为半径的球内,本文建立了一个基于扭曲风险度量的稳健投资组合策略模型,并将其转化为更简便的等价形式.此外,本文运用模拟和实证研究证明了该模型的有效性.Portfolio selection depends heavily on the underlying distribution of loss.When the distribution information of loss can only be observed through a limited sample of data,robustness of the portfolio selection model is of crucial importance.Assuming that the underlying distribution of loss has a known mean and variance and lies within a ball centred on the reference distribution with the Wasserstein distance as the radius,this paper proposes a robust portfolio strategy model based on the distortion risk measure and translates it into a simpler equivalent form.Furthermore,simulation and empirical study are used to demonstrate the validity of the model.

关 键 词：扭曲风险度量 投资组合策略 鲁棒模型 Wasserstein距离 

分 类 号：O211.9[理学—概率论与数理统计]