Robust asset allocation
Robust asset allocation
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DOI：
10.1023/b:anor.0000045281.41041.ed
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发表时间：
2004-11-01
影响因子：
4.8
通讯作者：
Koenig, M
中科院分区：
文献类型：
--
作者：
Tütüncü, RH;Koenig, M
本文讨论的问题，找到一个最佳的资金分配在不同的资产类别之间的稳健的方式时，回报结构的估计是不可靠的。而不是在经典的均值-方差优化中使用的点估计，回报的时刻描述使用不确定性集，包含所有，或大部分，其可能的实现。这里介绍的方法采取保守的观点，并确定具有最佳最坏情况行为的资产组合。从历史数据中产生不确定性集的技术进行了讨论，数值结果表明，稳健的最佳资产组合的稳定性。
This article addresses the problem of finding an optimal allocation of funds among different asset classes in a robust manner when the estimates of the structure of returns are unreliable. Instead of point estimates used in classical mean-variance optimization, moments of returns are described using uncertainty sets that contain all, or most, of their possible realizations. The approach presented here takes a conservative viewpoint and identifies asset mixes that have the best worst-case behavior. Techniques for generating uncertainty sets from historical data are discussed and numerical results that illustrate the stability of robust optimal asset mixes are reported.