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	Robust Value-at-Risk Optimization with Interval Random Uncertainty Set
	Chen, Wei ; Tan, Shaohua
	2010
关键词	Value-at-risk interval random uncertainty set interval random chance-constrained programming PORTFOLIO OPTIMIZATION PROGRAMMING/
英文摘要	This paper addresses a new uncertainty set-interval random uncertainty set for robust Value-at-Risk optimization. The form of interval random uncertainty set makes it suitable for capturing the downside and upside deviations of real-world data. These deviation measures capture distributional asymmetry and lead to better optimization results. We also apply our interval random chance-constrained programming to robust Value-at-Risk optimization under interval random uncertainty sets in the elements of mean vector. Numerical experiments with real market data indicate that our approach results in better portfolio performance.; Computer Science, Artificial Intelligence; Computer Science, Interdisciplinary Applications; EI; CPCI-S(ISTP); 0
语种	英语
DOI标识	10.1109/ICTAI.2010.48
内容类型	其他
源URL	[http://ir.pku.edu.cn/handle/20.500.11897/406197]
专题	信息科学技术学院
推荐引用方式 GB/T 7714	Chen, Wei,Tan, Shaohua. Robust Value-at-Risk Optimization with Interval Random Uncertainty Set. 2010-01-01.

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