RSOME案例: 均值-方差投资组合

RSOME: Robust Stochastic Optimization Made Easy

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Mean-Variance Portfolio

In this example, we consider a portfolio optimization problem discussed in Ben-Tal and Nemirovski (1999). Suppose there are $n=150$ stocks, and each stock $i$ has the mean return to be $p_i$ and the standard deviation to be ${\sigma }_i$. Let $x_i$ be the fraction of the total wealth invested in stock $i$, a classic approach is to formulate the problem as a quadratic program, where a mean-variance objective function is maximized:

max ⁡   ∑ i = 1 n p i x i − ϕ ∑ i = 1 n σ i 2 x i 2 s.t.  ∑ i = 1 n x i = 1 x i