Providing an Optimal Robust Portfolio Model with Mean- CVaR Approach

Subject Areas : Financial Mathematics

Fatemeh Pouraskari Jourshari ¹ , Mohsen Khodadadi ² , Seyed Reza Seyed Nejad Fahim ³

1 - Department of Financial Engineering, Rasht Branch, Islamic Azad University, Rasht, Iran
2 - Department Of Accounting, Roudsar and Amlash Branch, Islamic Azad University, Roudsar, Iran
3 - Department of Accounting, Lahijan Branch, Islamic Azad University,Lahijan, Iran

Received: 2021-07-03 Accepted : 2021-09-04 Published : 2023-01-01

Keywords: Uncertain, Mean- CVaR, Linear model, Robust Optimization,

Abstract :

The portfolio selection problem is one of the main investment management prob-lems. In the portfolio selection problem, robustness is sought against uncertainty or variability in the value of the parameters of the problem. This paper has been conducted for Robust portfolio optimization based on the mean-cvar approach. And introduces the linear mean-cvar model as a criterion for calculating risk and provides an optimal Robust mean-cvar model. Robust approach used in this research is the Bertsimas and Sim. In this approach, Robust counterpart presented for a linear programming model remains linear, maintaining the advantages of the linear programming model in the optimal model. The model developed in this research is randomly selected by real data of 20 stocks of the S&P 500 index for three years, this development help portfolio selection problem to consider uncertainty. Interval optimization is modeling approach to consider parameters uncertainty in this paper. Considering uncertainty make model more realistic. The results of model show that this approach has computational efficiency and on the other hand proposed model produce better solution in risk and portfolio rate of return point of view

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