RSOME案例：考虑条件风险价值的投资组合

RSOME: Robust Stochastic Optimization Made Easy

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Conditional Value-at-Risk in Robust Portfolio

This robust portfolio management model is proposed by Zhu and Fukushima (2009). The portfolio allocation is determined via minimizing the worst-case conditional value-at-risk (CVaR) under ambiguous distribution information. The generic formulation is given as

min ⁡   max ⁡ π ∈ Π α + 1 1 − β π ⊤ u s.t.  u k ≥ y k ⊤ x − α , ∀ k = 1 , 2 , . . . , s u k ≥ 0 , ∀ k = 1 , 2 , . . . , s ∑ k = 1 s π k y k ⊤ x ≥ μ , ∀ π ∈ Π x ‾ ≤ x ≤ x ‾ 1 ⊤ x = w 0 \begin{aligned} \min~&\max\limits_{\pmb{\pi}\in \Pi} \alpha + \frac{1}{1-\beta}\pmb{\pi}^{\top}\pmb{u} &\\ \text{s.t.}~& u_k \geq \pmb{y}_k^{\top}\pmb{x} - \alpha, &\forall k = 1, 2, ..., s \\ &u_k \geq 0, &\forall k=1, 2, ..., s \\ &\sum\limits_{k=1}^s\pi_k\pmb{y}_k^{\top}\pmb{x} \geq \mu, &\forall \pmb{\pi} \in \Pi \\ &\underline{\pmb{x}} \leq \pmb{x} \leq \overline{\pmb{x}} \\ &\pmb{1}^{\top}\pmb{x} = w_0 \end{aligned} min s.t. ​πππ∈Πmax​α+1−β1​πππ⊤uuuuk​≥y​y​​yk⊤​xxx−α,uk​≥0,k=1∑s​πk​y​y​​yk⊤​xxx≥<