| تعداد نشریات | 60 |
| تعداد شمارهها | 2,182 |
| تعداد مقالات | 17,684 |
| تعداد مشاهده مقاله | 54,262,942 |
| تعداد دریافت فایل اصل مقاله | 28,408,378 |
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 | ||
|
[1] A. Ben-Tal, L.El Ghaoui and A.L. Nemirovski, Robust Optimization, Princeton University Press, 2009. [2] A. Ben-Tal, A.L. Nemirovski, Robust optimization methodology and applications, Mathematical Programming, 92 (2002), 453480. [3] R. Bokrantz, A. Fredriksson, On solutions to robust multiobjective optimization problems that are optimal under convex scalarization, (2013) arXiv:1308.4616v2. [4] C. Chen, Y. Wei, Robust multiobjective portfolio optimization : a set order relations approch, Journal of Combinatorial Optimization 38 (2019) 21-49. [5] M.Ehrgott, Multicriteria Optimization, Springer, Berlin, 2005. [6] M. Ehrgott, J. Ide and A. Schobel, Minmax robustness for multiobjective optimization problems, European Journal of Operational Research, 239(1) (2014), 17-31. [7] J. Fliege, R. Werner), Robust multiobjective optimization applications in portfolio optimization, European Journal of Operational Research, 234(2) (2014), 422-433. [8] j. Ide, E. Kobis, Concepts of efficiency for uncertain multi-objective optimization problems based on set order relations, Mathematical Methods of Operations Research, 80 (2014), 99-127. [9] J. Ide, A. Schobel, Robustness for uncertain multiobjective optimization: a survey and analysis of different concepts, OR Spectrum, 38(1) (2016), 235-271. [10] D. Kuroiwa, G.M Lee, On robust multi-objective optimization, Vietnam Journal of Mathematics, 40 (2012), 305317. [11] H. Markowitz, Portfolio selection, The Journal of Finance 7(1) (1952), 77-91. [12] H. Markowitz, Portfolio Selection-efficient Diversi cation Of Investments, Wiley, NewYork, 1959. [13] K. Schottle, R. Werner, Towards reliable efficient frontiers, Journal of Asset Management, 7(2) (2006), 128141. [14] K. Schottle, R. Werner, Robustness properties of meanvariance portfolios, Optimization, 58(6) (2009), 641-663. [15] A. Soyster, Technical Note-Convex programming with set-inclusive constraints and applications to inexact linear programming, Operations Research, 21 (1973), 1154-1157. | ||
|
آمار تعداد مشاهده مقاله: 717 تعداد دریافت فایل اصل مقاله: 540 |
||