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Data-Driven Robust Mean-CVaR Portfolio Selection under Distribution Ambiguity


Academic Report

Title: Data-Driven Robust Mean-CVaR Portfolio Selection under Distribution Ambiguity

Reporter: LI Zhongfei(Sun Yat-sen University)

Time: May 15, 2018 (Tuesday) AM 9:45

Location: A1101# room, Innovation Park Building

Contact: Prof. YU Bo

Abstract: In this work, we present a computationally tractable optimization method for a robust mean-CVaR portfolio selection model under the condition of distribution ambiguity. We develop an extension that allows the model to capture a zero net adjustment via the linear constraint in the mean return, which can be cast as a tractable conic program. Also, we adopt a nonparametric bootstrap approach to calibrate the levels of ambiguity and show that the portfolio strategies are relatively immune to variations in input values. Finally, we show that the resulting robust portfolio is very well diversified and superior to its non-robust counterpart in terms of portfolio stability, expected returns and turnover. The results of numerical experiments with simulated and real market data shed light on the behavior of our distributionally robust optimization model established.

The brief introduction to the reporter: Li Zhongfei, Doctor of management of the Chinese Academy of Sciences, Professor of Management School of Sun Yat-sen University, director of the center for financial engineering and risk management of Sun Yat-sen University, the key research base of the humanities and social sciences of Guangdong Province, Professor of the Yangtze scholar of the Ministry of education, the scholar of the national innovation research group project, the National Outstanding Youth Science Foundation, The national model teacher, the special subsidy expert of the State Council, a hundred Excellent Doctoral Dissertations in the country, the special professor of Zhujiang scholar in Guangdong Province, and the excellent teachers of the south Guangdong Province. Professor Li Zhongfei served as director of the social science division of Sun Yat-sen University, executive dean of the school of management and Dean of the school of entrepreneurship. He is also an expert in the subject review group of the National Social Science Fund, deputy director of China's investment Specialized Committee, executive director of the China Institute for optimization of law and economic mathematics, standing director of the China Institute of systems engineering, executive director of the China Institute of operational research and deputy director of the financial engineering and financial risk management branch. Executive director of the National Institute of management science and engineering and vice chairman of the branch of financial measurement and risk management, the chief editor of more than 10 journals, such as "China management science", "system engineering theory and practice", "Journal of system engineering", "operations research and management", "Journal of operation research", "mathematical statistics and management", "research on science and technology management", "innovation and management", "Journal of Zhongshan University", "Numerical Algebra, Control and Optimization", "Journal of Systems Science and Information", "Journal of Operations Research Society of China" and so on.