Gastvortrag "Robust and Reliable Portfolio Optimization Formulation of a Chance Constrained Problem"

Im Rahmen des Fakultätskolloqiuums hält Prof. Raghu Nandan Sengupta einen Vortrag zum Thema "Robust and Reliable Portfolio Optimization Formulation of a Chance Constrained Problem" am 13.06.2017 um 18:15 im Festsaal der Fakultät. Prof. Sengupta ist Professor am Indian Institute of Technology in Kanpur, Indien. Als DAAD-Gastwissenschaftler der Mathematischen Fakultät (TUD) ist er vom 15. Mai bis 15. Juni 2017 in Dresden. In seiner Forschung beschäftigt sich Prof. Sengupta unteranderem mit Risikoanalyse und Omptimierungstechniken in der Finanzwirtschaft und veröffentlichte unter anderen schon in den Fachzeitschriften "Computational Statistics and Data Analysis" und dem "European Journal of Operational Research.

Title: Robust and Reliable Portfolio Optimization Formulation of a Chance Constrained Problem
Authors:  Raghu Nandan SENGUPTA, Rakesh KUMAR
Abstract: We solve a linear chance constrained portfolio optimization problem using Robust Optimization (RO) method wherein asset loss return distributions are considered as extreme valued. The objective function is a convex combination of portfolio's CVaR and expected value of loss return, subject to a set of randomly perturbed chance constraints with specified probability values. It is seen that the robust deterministic counterpart of the model takes the form of Second Order Cone Programming (SOCP) problem. Results from extensive simulation runs show the efficacy of our proposed models.
Key words: Risk Management; Investment Analysis; Robust Optimization; Conditional Value at Risk (CVaR); Extreme Value Distribution