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A Numerical Study for Robust Active Portfolio Management with Worst-Case Downside Risk Measure

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  • Aifan Ling
  • Le Tang

Abstract

Recently, active portfolio management problems are paid close attention by many researchers due to the explosion of fund industries. We consider a numerical study of a robust active portfolio selection model with downside risk and multiple weights constraints in this paper. We compare the numerical performance of solutions with the classical mean-variance tracking error model and the naive portfolio strategy by real market data from China market and other markets. We find from the numerical results that the tested active models are more attractive and robust than the compared models.

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  • Aifan Ling & Le Tang, 2014. "A Numerical Study for Robust Active Portfolio Management with Worst-Case Downside Risk Measure," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-13, April.
    • Handle: RePEc:hin:jnlmpe:912389
    DOI: 10.1155/2014/912389
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    Cited by:

    1. Zongrun Wang & Tangtang He & Xiaohang Ren & Luu Duc Toan Huynh, 2024. "Robust portfolio strategies based on reference points for personal experience and upward pacesetters," Review of Quantitative Finance and Accounting, Springer, vol. 63(3), pages 863-887, October.

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