Robust mean-to-CVaR optimization under ambiguity in distributions means and covariance

被引:0
|
作者
Lotfi, Somayyeh [2 ]
Zenios, Stavros A. [1 ,2 ,3 ,4 ]
机构
[1] Univ Durham, Durham, England
[2] Univ Cyprus, Dept Accounting & Finance, Nicosia, Cyprus
[3] Cyprus Acad Sci Letters & Arts, Nicosia, Cyprus
[4] Bruegel, Brussels, Belgium
关键词
Ambiguity; Conditional Value-at-Risk; International portfolios; Equity home bias puzzle; C61; C69; D81; G11; G12; G15; VALUE-AT-RISK; CONDITIONAL VALUE; PORTFOLIO OPTIMIZATION; ASSET ALLOCATION; MODEL; UNCERTAINTY; AVERSION; CHOICE; ERRORS;
D O I
10.1007/s11846-023-00715-z
中图分类号
C93 [管理学];
学科分类号
12 ; 1201 ; 1202 ; 120202 ;
摘要
We develop a robust mean-to-CVaR portfolio optimization model under interval ambiguity in returns means and covariance. The robust model satisfies second-order stochastic dominance consistency and is formulated as a semi-definite cone program. We use two controlled experiments to document the sensitivity of the optimal allocations to the ambiguity when asset correlation varies, and to the ambiguity intervals. We find that means ambiguity has a higher impact than covariance ambiguity. We apply the model to US equities data to corroborate works showing that ambiguity in mean returns induces a home bias; it can explain the puzzle in a two-country setting but not with three countries. We further establish that covariance ambiguity also induces bias, but with lower impact that can not explain the puzzle. Our results suggest what is needed for the ambiguity channel to provide a full explanation of the puzzle. The findings are robust to alternative model specifications and outliers.
引用
收藏
页码:2115 / 2140
页数:26
相关论文
共 44 条
  • [31] Robust mean and covariance matrix estimation under heterogeneous mixed-effects model with missing values
    Ferrer, A. Hippert
    El Korso, M. N.
    Breloy, A.
    Ginolhac, G.
    SIGNAL PROCESSING, 2021, 188
  • [32] A robust multivariate sign control chart for detecting shifts in covariance matrix under the elliptical directions distributions
    Liang, Wenjuan
    Xiang, Dongdong
    Pu, Xiaolong
    Li, Yan
    Jin, Lingzhu
    QUALITY TECHNOLOGY AND QUANTITATIVE MANAGEMENT, 2019, 16 (01): : 113 - 127
  • [33] Data-driven distributionally robust optimization under combined ambiguity for cracking production scheduling
    Zhang, Chenhan
    Wang, Zhenlei
    COMPUTERS & CHEMICAL ENGINEERING, 2024, 181
  • [34] Robust Reentry Trajectory Optimization under Uncertainties Using Covariance Analysis Describing Function Technique
    Liu X.
    Li X.
    Zhang H.-J.
    Guo Y.-H.
    Wang X.-P.
    Yuhang Xuebao/Journal of Astronautics, 2021, 42 (11): : 1404 - 1415
  • [35] Experimental Analysis of Dynamic Covariance Scaling for Robust Map Optimization Under Bad Initial Estimates
    Agarwal, Pratik
    Grisetti, Giorgio
    Tipaldi, Gian Diego
    Spinello, Luciano
    Burgard, Wolfram
    Stachniss, Cyrill
    2014 IEEE INTERNATIONAL CONFERENCE ON ROBOTICS AND AUTOMATION (ICRA), 2014, : 3626 - 3631
  • [36] Consistency of Distributionally Robust Risk- and Chance-Constrained Optimization under Wasserstein Ambiguity Sets
    Cherukuri, Ashish
    Hota, Ashish R.
    2021 AMERICAN CONTROL CONFERENCE (ACC), 2021, : 3818 - 3823
  • [37] Consistency of Distributionally Robust Risk- and Chance-Constrained Optimization Under Wasserstein Ambiguity Sets
    Cherukuri, Ashish
    Hota, Ashish R.
    IEEE CONTROL SYSTEMS LETTERS, 2021, 5 (05): : 1729 - 1734
  • [38] Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
    Wang, Pei
    Li, Zhongfei
    Sun, Jingyun
    OPTIMIZATION, 2021, 70 (01) : 191 - 224
  • [39] Two-stage distributionally robust optimization for disaster relief logistics under option contract and demand ambiguity
    Wang, Duo
    Yang, Kai
    Yang, Lixing
    Dong, Jianjun
    TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW, 2023, 170
  • [40] Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics
    Noyan, Nilay
    Rudolf, Gabor
    Lejeune, Miguel
    INFORMS JOURNAL ON COMPUTING, 2022, 34 (02) : 729 - 751