Two-Stage Robust Optimization Model for Uncertainty Investment Portfolio Problems
Investment portfolio can provide investors with a more robust financial management plan, but the uncertainty of its parameters is a key factor affecting performance. This paper conducts research on investment portfolios and constructs a two-stage mixed integer programming (TS-MIP) model, which compr...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Wiley
2021-01-01
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| Series: | Journal of Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2021/3087066 |
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| _version_ | 1832557084942532608 |
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| author | Dongqing Luan Chuming Wang Zhong Wu Zhijie Xia |
| author_facet | Dongqing Luan Chuming Wang Zhong Wu Zhijie Xia |
| author_sort | Dongqing Luan |
| collection | DOAJ |
| description | Investment portfolio can provide investors with a more robust financial management plan, but the uncertainty of its parameters is a key factor affecting performance. This paper conducts research on investment portfolios and constructs a two-stage mixed integer programming (TS-MIP) model, which comprehensively considers the five dimensions of profit, diversity, skewness, information entropy, and conditional value at risk. But the deterministic TS-MIP model cannot cope with the uncertainty. Therefore, this paper constructs a two-stage robust optimization (TS-RO) model by introducing robust optimization theory. In case experiments, data crawler technology is used to obtain actual data from real websites, and a variety of methods are used to verify the effectiveness of the proposed model in dealing with uncertainty. The comparison of models found that, compared with the traditional equal weight model, the investment benefits of the TS-MIP model and the TS-RO model proposed have been improved. Among them, the Sharpe ratio, Sortino ratio, and Treynor ratio have the largest increase of 19.30%, 8.25%, and 7.34%, respectively. |
| format | Article |
| id | doaj-art-37b9ef735e534d50b23450634883768f |
| institution | Kabale University |
| issn | 2314-4785 |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Mathematics |
| spelling | doaj-art-37b9ef735e534d50b23450634883768f2025-02-03T05:43:39ZengWileyJournal of Mathematics2314-47852021-01-01202110.1155/2021/3087066Two-Stage Robust Optimization Model for Uncertainty Investment Portfolio ProblemsDongqing Luan0Chuming Wang1Zhong Wu2Zhijie Xia3School of ManagementSchool of ManagementSchool of ManagementSchool of ManagementInvestment portfolio can provide investors with a more robust financial management plan, but the uncertainty of its parameters is a key factor affecting performance. This paper conducts research on investment portfolios and constructs a two-stage mixed integer programming (TS-MIP) model, which comprehensively considers the five dimensions of profit, diversity, skewness, information entropy, and conditional value at risk. But the deterministic TS-MIP model cannot cope with the uncertainty. Therefore, this paper constructs a two-stage robust optimization (TS-RO) model by introducing robust optimization theory. In case experiments, data crawler technology is used to obtain actual data from real websites, and a variety of methods are used to verify the effectiveness of the proposed model in dealing with uncertainty. The comparison of models found that, compared with the traditional equal weight model, the investment benefits of the TS-MIP model and the TS-RO model proposed have been improved. Among them, the Sharpe ratio, Sortino ratio, and Treynor ratio have the largest increase of 19.30%, 8.25%, and 7.34%, respectively.http://dx.doi.org/10.1155/2021/3087066 |
| spellingShingle | Dongqing Luan Chuming Wang Zhong Wu Zhijie Xia Two-Stage Robust Optimization Model for Uncertainty Investment Portfolio Problems Journal of Mathematics |
| title | Two-Stage Robust Optimization Model for Uncertainty Investment Portfolio Problems |
| title_full | Two-Stage Robust Optimization Model for Uncertainty Investment Portfolio Problems |
| title_fullStr | Two-Stage Robust Optimization Model for Uncertainty Investment Portfolio Problems |
| title_full_unstemmed | Two-Stage Robust Optimization Model for Uncertainty Investment Portfolio Problems |
| title_short | Two-Stage Robust Optimization Model for Uncertainty Investment Portfolio Problems |
| title_sort | two stage robust optimization model for uncertainty investment portfolio problems |
| url | http://dx.doi.org/10.1155/2021/3087066 |
| work_keys_str_mv | AT dongqingluan twostagerobustoptimizationmodelforuncertaintyinvestmentportfolioproblems AT chumingwang twostagerobustoptimizationmodelforuncertaintyinvestmentportfolioproblems AT zhongwu twostagerobustoptimizationmodelforuncertaintyinvestmentportfolioproblems AT zhijiexia twostagerobustoptimizationmodelforuncertaintyinvestmentportfolioproblems |