Article Contents
Article Contents

# Distributionally robust multi-period portfolio selection subject to bankruptcy constraints

• An optimization problem with moments information which suffers from distributional uncertainty can be handled through distributionally robust optimization. In this paper, we will consider distributionally robust multi-period portfolio selection since only moment information of portfolios can be gathered in practice. We will consider two different scenarios. One is that moments information can be obtained exactly and the other one is that the moments information is also uncertain. For the two scenarios, we will show how to transform the corresponding distributionally robust optimization problem into a second order cone problem (SOCP) which can be easily solved by existing methods. Some numerical experiments are presented to demonstrate the effectiveness of our proposed method.

Mathematics Subject Classification: Primary: 90C26, 90C59; Secondary: 30E1.

 Citation:

• Figure 1.  The optimal $\mathbb{E}(x_t)$ with $\underline{x} = 1.15$ and $\underline{x} = 1.196$

Figure 2.  The optimal $u_2(t)$ with $\underline{x} = 1.15$ and $\underline{x} = 1.196$

Figure 3.  The optimal $u_3(t)$ with $\underline{x} = 1.15$ and $\underline{x} = 1.196$

Figure 4.  The optimal $\textbf{u}_{t}$ with $\gamma_1 = 0.0001$ and $\gamma_2 = 1.2$

Figure 5.  The optimal investment return under different $\gamma_2$

Figure 6.  The optimal investment return under different $\gamma_1$

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