Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
Motivated by the asymmetrical attitudes of investors towards downside losses and upside gains, this paper proposes a robust multi-period portfolio selection model based on downside risk with asymmetrically distributed uncertainty set, in which the downside losses of a portfolio are controlled by the...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Elsevier BV * North-Holland
2019
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| Online Access: | http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/74439 |
| _version_ | 1848763274927013888 |
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| author | Ling, A. Sun, Jie Wang, M. |
| author_facet | Ling, A. Sun, Jie Wang, M. |
| author_sort | Ling, A. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Motivated by the asymmetrical attitudes of investors towards downside losses and upside gains, this paper proposes a robust multi-period portfolio selection model based on downside risk with asymmetrically distributed uncertainty set, in which the downside losses of a portfolio are controlled by the lower partial moment (LPM). A computationally tractable approximation approach based on second-order cone optimization is used for solving the proposed model. We show in theory that the optimal solution of the robust model can generate a given probability guarantee for individual and joint stochastic constraints. The effect of the asymmetrically distributed uncertainty set on performance of the optimal solution is analyzed by the usual comparative static method. Comprehensive numerical comparisons with real market data are reported and indicate that the proposed model can obtain the smaller standard deviation and turnover ratios which reduce the Sharpe ratios of optimal portfolio, compared with some well-known models in the literature. |
| first_indexed | 2025-11-14T11:00:52Z |
| format | Journal Article |
| id | curtin-20.500.11937-74439 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T11:00:52Z |
| publishDate | 2019 |
| publisher | Elsevier BV * North-Holland |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-744392022-10-27T04:50:26Z Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set Ling, A. Sun, Jie Wang, M. Motivated by the asymmetrical attitudes of investors towards downside losses and upside gains, this paper proposes a robust multi-period portfolio selection model based on downside risk with asymmetrically distributed uncertainty set, in which the downside losses of a portfolio are controlled by the lower partial moment (LPM). A computationally tractable approximation approach based on second-order cone optimization is used for solving the proposed model. We show in theory that the optimal solution of the robust model can generate a given probability guarantee for individual and joint stochastic constraints. The effect of the asymmetrically distributed uncertainty set on performance of the optimal solution is analyzed by the usual comparative static method. Comprehensive numerical comparisons with real market data are reported and indicate that the proposed model can obtain the smaller standard deviation and turnover ratios which reduce the Sharpe ratios of optimal portfolio, compared with some well-known models in the literature. 2019 Journal Article http://hdl.handle.net/20.500.11937/74439 10.1016/j.ejor.2019.01.012 http://purl.org/au-research/grants/arc/DP160102819 Elsevier BV * North-Holland fulltext |
| spellingShingle | Ling, A. Sun, Jie Wang, M. Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set |
| title | Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set |
| title_full | Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set |
| title_fullStr | Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set |
| title_full_unstemmed | Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set |
| title_short | Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set |
| title_sort | robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set |
| url | http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/74439 |