Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity

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dc.citation.epage891en_US
dc.citation.issueNumber3en_US
dc.citation.spage875en_US
dc.citation.volumeNumber22en_US
dc.contributor.authorPaç, A. B.en_US
dc.contributor.authorPınar, M. Ç.en_US
dc.date.accessioned2015-07-28T12:04:00Z
dc.date.available2015-07-28T12:04:00Z
dc.date.issued2014-01-09en_US
dc.departmentDepartment of Industrial Engineeringen_US
dc.description.abstractWe consider the problem of optimal portfolio choice using the Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR) measures for a market consisting of n risky assets and a riskless asset and where short positions are allowed. When the distribution of returns of risky assets is unknown but the mean return vector and variance/covariance matrix of the risky assets are fixed, we derive the distributionally robust portfolio rules. Then, we address uncertainty (ambiguity) in the mean return vector in addition to distribution ambiguity, and derive the optimal portfolio rules when the uncertainty in the return vector is modeled via an ellipsoidal uncertainty set. In the presence of a riskless asset, the robust CVaR and VaR measures, coupled with a minimum mean return constraint, yield simple, mean-variance efficient optimal portfolio rules. In a market without the riskless asset, we obtain a closed-form portfolio rule that generalizes earlier results, without a minimum mean return restriction.en_US
dc.identifier.doi10.1007/s11750-013-0303-yen_US
dc.identifier.eissn1863-8279
dc.identifier.issn1134-5764
dc.identifier.urihttp://hdl.handle.net/11693/12942
dc.language.isoEnglishen_US
dc.publisherSpringeren_US
dc.relation.isversionofhttp://dx.doi.org/10.1007/s11750-013-0303-yen_US
dc.source.titleTopen_US
dc.subjectRobust Portfolio Choiceen_US
dc.subjectEllipsoidal uncertaintyen_US
dc.subjectConditional value-at-risken_US
dc.subjectValue-at-risken_US
dc.subjectDistributional robustnessen_US
dc.titleRobust portfolio choice with CVaR and VaR under distribution and mean return ambiguityen_US
dc.typeArticleen_US
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