TUNING THE UNIFIED ROBUST MODEL OF UNCERTAIN LINEAR PROGRAMS: AN APPLICATION TO PORTFOLIO SELECTION

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HANAFIZADEH P.; SEYFI A.

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Paper Information

Journal: INTERNATIONAL JOURNAL OF ENGINEERING SCIENCE (ENGLISH) Year:2006 | Volume:17 | Issue:2 Page(s): 49-54

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Title

TUNING THE UNIFIED ROBUST MODEL OF UNCERTAIN LINEAR PROGRAMS: AN APPLICATION TO PORTFOLIO SELECTION

Author(s)

HANAFIZADEH P. | SEYFI A. | Issue Writer Certificate

Keywords

UNCERTAIN LINEAR PROGRAMMING

ROBUST OPTIMIZATION

PORTFOLIO SELECTION PROBLEM

Abstract

This paper reformulates the unified robust model and reveals the relationship between uncertainty sets using norm bodies and their corresponding robust counterparts defined by dual norms. It shows how to apply a unified robust modeling approach to portfolio selection. It is shown how the robust model of an uncertain portfolio selection can be adjusted according to the decision maker's utility function and the uncertainty of the return parameters. The model can be tuned by choosing an appropriate norm body and the radius of the uncertainty region. Simulation experiments have been carried out using 10000 samples of the return parameters for various lp-norm solutions. The computational results provide some general guidelines as how to choose a suitable Ip -norm in the unified robust model according to the degree of risk aversion of an investor. In addition, when the uncertainty is large, the investor personality does not play an important role and l¥ norm is the choice.

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APA: Copy

HANAFIZADEH, P., & SEYFI, A.. (2006). TUNING THE UNIFIED ROBUST MODEL OF UNCERTAIN LINEAR PROGRAMS: AN APPLICATION TO PORTFOLIO SELECTION. INTERNATIONAL JOURNAL OF ENGINEERING SCIENCE (ENGLISH), 17(2), 49-54. SID. https://sid.ir/paper/567666/en

Vancouver: Copy

HANAFIZADEH P., SEYFI A.. TUNING THE UNIFIED ROBUST MODEL OF UNCERTAIN LINEAR PROGRAMS: AN APPLICATION TO PORTFOLIO SELECTION. INTERNATIONAL JOURNAL OF ENGINEERING SCIENCE (ENGLISH)[Internet]. 2006;17(2):49-54. Available from: https://sid.ir/paper/567666/en

IEEE: Copy

P. HANAFIZADEH, and A. SEYFI, “TUNING THE UNIFIED ROBUST MODEL OF UNCERTAIN LINEAR PROGRAMS: AN APPLICATION TO PORTFOLIO SELECTION,” INTERNATIONAL JOURNAL OF ENGINEERING SCIENCE (ENGLISH), vol. 17, no. 2, pp. 49–54, 2006, [Online]. Available: https://sid.ir/paper/567666/en

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