Robustness in Mean-Variance Portfolio Optimization

Shahbeyk, Shokouh

doi:10.22054/jmmf.2023.15193

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	Robustness in Mean-Variance Portfolio Optimization
Journal of Mathematics and Modeling in Finance
دوره 2، شماره 2، اسفند 2022، صفحه 195-204 اصل مقاله (730.11 K)
نوع مقاله: Research Article
شناسه دیجیتال (DOI): 10.22054/jmmf.2023.15193
نویسنده
Shokouh Shahbeyk^*
Department of Statistics, Mathematics, and Computer Science, Allameh Tabataba’i University, Tehran, Iran
چکیده
In this paper, we discuss some of the concepts of robustness for uncertain multi-objective optimization problems. An important factor involved with multi objective optimization problems is uncertainty. The uncertainty may arise from the estimation of parameters in the model, error of computation, the structure of a problem, and so on. Indeed, some parameters are often unknown at the beginning of solving a multi-objective optimization problem. One of the most important and popular approaches for dealing with uncertainty is robust optimization. Markowitz's portfolio optimization problem is strongly sensitive to the perturbations of input parameters. We consider Markowitz's portfolio optimization problem with ellipsoid uncertainty set and apply set-based minmax and lower robust efficiency to this problem. The concepts of robust efficiency are used in the real stock market and compared to each other. Finally, the increase and decrease effects of uncertainty set parameters on these robust efficient solutions are verified.
کلیدواژه‌ها
Portfolio Optimization؛ Robustness؛ Ellipsoid Uncertainty Set

مراجع
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Robustness in Mean-Variance Portfolio Optimization