New Robust Reward-Risk Ratio Models with CVaR and Standard Deviation
In this paper, we present two robust reward-risk ratio optimization models. Two new models contain the worst case of not only conditional value-at-risk (CVaR), but also standard deviation (SD). Using properties of reward measure, CVaR measure, and standard deviation measure, new models can be proved...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
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| Series: | Journal of Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2022/8304411 |
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| Summary: | In this paper, we present two robust reward-risk ratio optimization models. Two new models contain the worst case of not only conditional value-at-risk (CVaR), but also standard deviation (SD). Using properties of reward measure, CVaR measure, and standard deviation measure, new models can be proved to equivalent to min-max problems. When the uncertainty set is an ellipsoid, new models can be further rewritten as second-order cone problems step by step. Finally, we implement new models to portfolio problems. It shows that new models are robust and comparable with mean-CVaR ratio model. Since considering standard deviation, allocation decision obtained by new models can give reasonable rewards according to personal preferences. |
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| ISSN: | 2314-4785 |