基于两时段的WCVaR风险分析及其应用

针对随机变量的分布信息不完全的情况下,提出了两时段的Worst-Case Conditional Valueat-Risk(WCVaR)指标,并建立了两时段的风险-利润投资组合优化模型,该模型是一高维问题,具有复杂的优化结构.在损失函数为线性以及随机变量为离散界约束分布的假设下,运用最优化对偶理论将具有多层min-ma...

WCVaR Risk Analysis in Two-Time Periods and Calculation

According to the known part information of random variable ,this paper presented a concept of worst-case conditional value-at-risk（WCVaR） in two-time periods, and set up a profit-risk robust portfolio model. This model is a high- dimension problem and has multi-layer min-max type. For the case of linear loss function and box discrete distribution of ran- dom variable,the new model can be further reformulated equivalently to simple linear programming problem by using optimal duality theory. This study is the development of one-stage, whicn can be used for risk-profit problems with the uncertain distri- bution of random variables. Becanuse electric power market is a typical risk market, WCVaR in two-time periods was used for solving power asset allocation in power markets,and the numerical results show the validity of the proposed method.