Worst-Case Distortion Risk Measure with Application to Robust Portfolio Selection
Portfolio selection depends heavily on the underlying distribution of loss.When the distribution information of loss can only be observed through a limited sample of data,robustness of the portfolio selection model is of crucial importance.Assuming that the underlying distribution of loss has a known mean and variance and lies within a ball centred on the reference distribution with the Wasserstein distance as the radius,this paper proposes a robust portfolio strategy model based on the distortion risk measure and translates it into a simpler equivalent form.Furthermore,simulation and empirical study are used to demonstrate the validity of the model.
万方数据
维普
