Worst-case analysis of Gini mean difference safety measure
نویسندگان
چکیده
The paper introduces the worst-case portfolio optimization models within robust framework for maximizing return through either mean or median metrics. risk in is quantified by Gini difference. We put forward under mixed and interval+polyhedral uncertainty sets. proposed turn out to be linear integer programs set, semidefinite program set. performance comparison of on listed stocks Euro Stoxx 50, Dow Jones Global Titans S & P Asia consistently exhibit advantage over their conventional non-robust counterpart various parameters including standard deviation, worst return, value at risk, conditional maximum drawdown portfolio.
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ژورنال
عنوان ژورنال: Journal of Industrial and Management Optimization
سال: 2021
ISSN: ['1547-5816', '1553-166X']
DOI: https://doi.org/10.3934/jimo.2020037