The optimal portfolio of alpha-maxmin mean-VaR problem for investors

doi:10.1016/j.physa.2019.04.014

	The optimal portfolio of alpha-maxmin mean-VaR problem for investors
	Kang, Zhilin ; Zhao, Linhai ; Sun, Jingyun
	2019-07-15
发表期刊	PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷号	526
摘要	Value-at-Risk (VaR) is one of the most widely accepted risk measures in the financial industries, yet efficient computation of VaR remains a challenging issue. In this paper, we investigate an alpha-maxmin mean-VaR portfolio selection problem for investors when only partial information of the underlying distribution is available. Unlike the classical worst case approach, which only deal with extremely ambiguity-averse attitude, our model is flexible and allows for investors with different levels of ambiguity aversion. Closed-form expressions for the optimal investment strategies are achieved and hence can be easily applied in practice. We illustrate the efficiency of our results with an example. (C) 2019 Elsevier B.V. All rights reserved.
关键词	alpha-maxmin VaR Distribution ambiguity Ambiguity attitude
DOI	10.1016/j.physa.2019.04.014
收录类别	SCI ; EI ; SCOPUS ; SCIE ; SSCI
ISSN	0378-4371
语种	英语
WOS研究方向	Physics
WOS类目	Physics, Multidisciplinary
WOS记录号	WOS:000474503800123
出版者	ELSEVIER
原始文献类型	Article
EISSN	1873-2119
引用统计	被引频次：4[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/10648
专题	统计与数据科学学院
作者单位	1.Huaqiao Univ, Sch Math Sci, Fujian Prov Univ Key Lab Computat Sci, Quanzhou, Fujian, Peoples R China; 2.Huaqiao Univ, Sch Econ & Finance, Quanzhou, Fujian, Peoples R China; 3.Lanzhou Univ Finance & Econ, Sch Stat, Lanzhou, Gansu, Peoples R China
推荐引用方式 GB/T 7714	Kang, Zhilin,Zhao, Linhai,Sun, Jingyun. The optimal portfolio of alpha-maxmin mean-VaR problem for investors[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2019,526.
APA	Kang, Zhilin,Zhao, Linhai,&Sun, Jingyun.(2019).The optimal portfolio of alpha-maxmin mean-VaR problem for investors.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,526.
MLA	Kang, Zhilin,et al."The optimal portfolio of alpha-maxmin mean-VaR problem for investors".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 526(2019).

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