New safe approximation of ambiguous probabilistic constraints for financial optimization problem
Summary: In financial optimization problem, the optimal portfolios usually depend heavily on the distributions of uncertain return rates. When the distributional information about uncertain return rates is partially available, it is important for investors to find a robust solution for immunization against the distribution uncertainty. The main contribution of this paper is to develop an ambiguous value-at-risk (VaR) optimization framework for portfolio selection problems, where the distributions of uncertain return rates are partially available. For tractability consideration, we deal with new safe approximations of ambiguous probabilistic constraints under two types of random perturbation sets and obtain two equivalent tractable formulations of the ambiguous probabilistic constraints. Finally, to demonstrate the potential for solving portfolio optimization problems, we provide a practical example about the Chinese stock market. The advantage of the proposed robust optimization method is also illustrated by comparing it with the existing optimization approach via numerical experiments.
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- Ambiguous Risk Measures and Optimal Robust Portfolios
- Uncertain portfolio optimization problem based on moment information
- Robust portfolio optimization with a generalized expected utility model under ambiguity
- A distributionally robust joint chance constrained optimization model for the dynamic network design problem under demand uncertainty
- A new risk criterion in fuzzy environment and its application
- A Sample Approximation Approach for Optimization with Probabilistic Constraints
- Ambiguous joint chance constraints under mean and dispersion information
- Convex Approximations of Chance Constrained Programs
- Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints
- Distributionally robust chance constrained problem under interval distribution information
- Distributionally robust chance constraints for non-linear uncertainties
- Distributionally Robust Convex Optimization
- Distributionally robust joint chance constraints with second-order moment information
- Distributionally robust optimization and its tractable approximations
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
- Managing underperformance risk in project portfolio selection
- Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
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- On safe tractable approximations of chance-constrained linear matrix inequalities
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- Robust optimization
- Robust optimization approximation for joint chance constrained optimization problem
- Robust optimization with ambiguous stochastic constraints under mean and dispersion information
- Robust portfolio optimization with copulas
- Robust portfolio selection based on a multi-stage scenario tree
- Robust-based interactive portfolio selection problems with an uncertainty set of returns
- Sample approximation technique for mixed-integer stochastic programming problems with several chance constraints
- Sample average approximation method for chance constrained programming: Theory and applications
- Scenario approximation of robust and chance-constrained programs
- Selected topics in robust convex optimization
- The lambda selections of parametric interval-valued fuzzy variables and their numerical characteristics
- The Price of Robustness
- The problem of calculating the volume of a polyhedron is enumerably hard
- Worst-case conditional value-at-risk with application to robust portfolio management
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