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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 대한산업공학회 Industrial Engineering & Management Systems Industrial Engineering & Management Systems Vol.17 No.4
- 발행연도
- 2018.12
- 수록면
- 632 - 641 (10page)
- DOI
- 10.7232/iems.2018.17.4.632
이용수
초록· 키워드
오류제보하기
In this paper, mathematical modeling is developed for portfolio selection problem under uncertainty circumstances with regard to a robust stochastic variable. Two popular and common approaches in the area of modeling uncertainty are robust optimization and stochastic programming. These two methods are used with different considerations in mathematical modeling, but each one has a limitation. Stochastic programming assumes a static distribution function with static parameters over time for non-deterministic data, and robust optimization considers an indeterminate parameter in a uniform interval around nominal values. Using combination of these two methods can help us to eliminate their drawbacks. For this purpose, the concept of a robust stochastic variable has been developed in this research. This variable enables distribution of the uncertainty parameter to vary over time, and its mean, varies from one period to another; in fact, the parameter of the mean of uncertain probable distribution. The risk measure of CVaR, which allows changes in mean of uncertainty from time to time, is used to implement the proposed approach. As a numerical example, the actual data of Tehran Stock Exchange is used for a year as one-month periods. The practical results of this research show that the developed method can properly overcome the shortcomings of the previous methods.
목차
ABSTRACT
1. INTRODUCTION
2. NOVELTY AND CHARACTERISTICS OF THE PROBLEM
3. MEAN-CVaR PORTFOLIO SELECTION
4. ROBUST RANDOM VARIABLE FOR PORTFOLIO SELECTION PROBLEM
5. NUMERICAL RESULTS AND DISCUSSION
6. CONCLUSIONS
REFERENCES
참고문헌 (30)
참고문헌 신청
[학술지(정기간행물)] - Abdelaziz, F. B. / 2010 / A compromise solution for the multiobjective stochastic linear programming under partial uncertainty / European Journal of Operational Research 202 (1) : 55 ~ 59
[학술지(정기간행물)] - Abdelaziz, F. B. / 2007 / Multi-objective stochastic programming for portfolio selection / European Journal of Operational Research 177 (3) : 1811 ~ 1823
[학술지(정기간행물)] - Ben-Tal, A. / 2000 / Robust solutions of linear programming problems contaminated with uncertain data / Mathematical Programming 88 (3) : 411 ~ 424
[학술지(정기간행물)] - Bertocchi, M. / 2006 / Horizon and stages in applications of stochastic programming in finance / Annals of Operations Research 142 : 63 ~ 78
[학술지(정기간행물)] - Bertsimas, D. / 2004 / The price of robustness / Operations Research 52 (1) : 35 ~ 53
[학술지(정기간행물)] - Abdelaziz, F. B. / 2007 / Multi-objective stochastic programming for portfolio selection / European Journal of Operational Research 177 (3) : 1811 ~ 1823
[학술지(정기간행물)] - Ben-Tal, A. / 2000 / Robust solutions of linear programming problems contaminated with uncertain data / Mathematical Programming 88 (3) : 411 ~ 424
[학술지(정기간행물)] - Bertocchi, M. / 2006 / Horizon and stages in applications of stochastic programming in finance / Annals of Operations Research 142 : 63 ~ 78
[학술지(정기간행물)] - Bertsimas, D. / 2004 / The price of robustness / Operations Research 52 (1) : 35 ~ 53
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UCI(KEPA) : I410-ECN-0101-2019-530-000325464