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Application of Robust Optimization in Asset Portfolio

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DOI: 10.23977/icidel.2018.015

Author(s)

Qilin Li, Chuanliang Jia

Corresponding Author

Qilin Li

ABSTRACT

A portfolio robust optimization model is established concerning the uncertainties of future economic factors based on the domestic actual situation.Researches are carried out on the investment decision of fund companies, fund allocations of bankcard network.The optimal portfolio has been realized when the objective function and constraints are adjusted and improved according to every specific problem and the uncertain economic factors predicted using the uncertain set method.Then,the portfolio decision with both the feasible and the optimal is realized by means of robust optimization

KEYWORDS

Finance, robust optimization, uncertainty, portfolio

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