کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
479817 1446034 2014 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Robust portfolios that do not tilt factor exposure
ترجمه فارسی عنوان
اوراق بهادار با ثبات است که عوامل مواجهه شیب ندارد
کلمات کلیدی
تجزیه و تحلیل سرمایه گذاری، مدل نمونه کارآمد تجزیه و تحلیل ثبات عوامل بنیادی
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
چکیده انگلیسی


• We introduce the robustness measure and its properties.
• We propose new robust formulations that allow investors to control the factor exposure of portfolios.
• The optimal portfolio of our model is not only robust but also has a desired factor exposure.

Robust portfolios reduce the uncertainty in portfolio performance. In particular, the worst-case optimization approach is based on the Markowitz model and form portfolios that are more robust compared to mean–variance portfolios. However, since the robust formulation finds a different portfolio from the optimal mean–variance portfolio, the two portfolios may have dissimilar levels of factor exposure. In most cases, investors need a portfolio that is not only robust but also has a desired level of dependency on factor movement for managing the total portfolio risk. Therefore, we introduce new robust formulations that allow investors to control the factor exposure of portfolios. Empirical analysis shows that the robust portfolios from the proposed formulations are more robust than the classical mean–variance approach with comparable levels of exposure on fundamental factors.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 234, Issue 2, 16 April 2014, Pages 411–421
نویسندگان
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