CAJ | 학술논문

针对投资组合优化模型中收益率的期望值、协方差矩阵等参数扰动时对原问题最优解产生较大影响的问题，文中提出将鲁棒优化应用到均值-方差投资组合模型中，建立了“势”不确定集下的鲁棒投资组合选择模型，通过市场数据对该模型进行了实证研究。试验结果表明该模型得到的解兼具鲁棒性与最优性。
침대투자조합우화모형중수익솔적기망치、협방차구진등삼수우동시대원문제최우해산생교대영향적문제，문중제출장로봉우화응용도균치-방차투자조합모형중，건립료“세”불학정집하적로봉투자조합선택모형，통과시장수거대해모형진행료실증연구。시험결과표명해모형득도적해겸구로봉성여최우성。
In the portfolio optimization , the disturbance of return expectations and the covariance matrix has a great influence on the optimal solution to the original problem .To weaken this influence , the robust portfolio selection model based on the “cardinality” uncertainty set was established by applying the robust optimization to the mean variance portfolio model .And then an empirical study of the model was made by using real market data .The numerical results show that the solution obtained by the model is both robust and optimal .