| 椭球不确定集下具有消费的投资组合鲁棒优化模型 |
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| 引用本文： | 武伟伟,王茜.椭球不确定集下具有消费的投资组合鲁棒优化模型[J].数学理论与应用,2009(4):100-103. |
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| 作者姓名： | 武伟伟 王茜 |
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| 作者单位： | 中南大学数学科学与计算技术学院,长沙410083 |
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| 摘 要： | 针对含有不确定参数的优化问题，鲁棒优化作为一种有效的优化手段引起了人们的普遍关注。本文主要介绍了CVaR风险投资纽合模型，并在模型中加入消费，将椭球不确定集下鲁棒优化应用到该模型中，这不仅解决了该模型由于参数的不确定性所造成的缺陷，而且也比较符合实际情况。
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| 关 键 词： | CVaR 鲁棒优化 消费过程 二阶锥规划 |
Robust Portfolio Selection with the Consumption Under Ellipsoidal Uncertainty |
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| Wu Weiwei Wang Qian.Robust Portfolio Selection with the Consumption Under Ellipsoidal Uncertainty[J].Mathematical Theory and Applications,2009(4):100-103. |
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| Authors: | Wu Weiwei Wang Qian |
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| Institution: | Wu Weiwei Wang Qian (School of Mathematical Science and Computing Technology, CSU, Changsha,410083) |
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| Abstract: | Robust optimization, one of the most popular topics in the field of optimization, deals with an optimization problem involving uncertain parameters. In this paper, we show CVaR portfolio optimization selection under the consumption and apply the robust method to solve the model. This is not only to deal with the problem of uncertain parameters, but also accord the actual situation. |
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| Keywords: | CVaR Robust optimization Consumption process SOCP |
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