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

doi:10.1016/j.physa.2019.04.014

	The optimal portfolio of α-maxmin mean-VaR problem for investors
	Kang, Zhilin 1; Zhao, Linhai 2; Sun, Jingyun3
	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 α-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. © 2019 Elsevier B.V.
关键词	Risk assessment Ambiguity attitude Closed form expression Distribution ambiguity Efficient computation Max min Partial information Portfolio selection problems Underlying distribution
DOI	10.1016/j.physa.2019.04.014
收录类别	EI
ISSN	03784371
语种	英语
出版者	Elsevier B.V., Netherlands
EI入藏号	20192607122796
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/598
专题	统计与数据科学学院
作者单位	1.Fujian Province University Key Laboratory of Computational Science, School of Mathematical Sciences, Huaqiao University, Quanzhou, China; 2.School of Economics and Finance, Huaqiao University, Quanzhou, China; 3.School of Statistics, Lanzhou University of Finance and Economics, Lanzhou, China
推荐引用方式 GB/T 7714	Kang, Zhilin,Zhao, Linhai,Sun, Jingyun. The optimal portfolio of α-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 α-maxmin mean-VaR problem for investors.Physica A: Statistical Mechanics and its Applications,526.
MLA	Kang, Zhilin,et al."The optimal portfolio of α-maxmin mean-VaR problem for investors".Physica A: Statistical Mechanics and its Applications 526(2019).