The convergence of set-valued scenario approach for downside risk minimization
The convergence of set-valued scenario approach for downside risk minimization
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DOI：
10.1007/s11424-016-5028-1
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发表时间：
2016-05
影响因子：
2.1
通讯作者：
Xiao-long Ji;Shushang Zhu
中科院分区：
文献类型：
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作者：
Xiao-long Ji;Shushang Zhu
情景分析法是投资组合风险管理中广泛使用的工具，但在信息不充分的情况下，情景分析法在确定资产收益率分布时常常陷入困境。此外，即使资产回报的分布是准确的，生成的场景的质量也得不到保证。Zhu等人（2015）提出了一种集值情景方法作为可能的补救措施。作为对Zhu，et al.（2015）结果的必要补充，在已知底层分布的条件下，从理论上研究了基于集值情景方法的数值解的收敛性.
Scenario approach is a widely used tool in portfolio risk management, however, it often runs into dilemma when determining the distribution of asset returns with insufficient information, which will be used to simulate the scenarios. Also the quality of generated scenarios are not guaranteed even when the distribution of asset returns is known exactly. A set-valued scenario approach was proposed by Zhu, et al. (2015) as a possible remedy. As a necessary supplement of the results proposed by Zhu, et al. (2015), this paper theoretically investigates the convergent property of the numerical solution based on the set-valued scenario approach under the condition that the underlying distribution is known.