Portfolio Model Based on Robust Optimization and Its Application to Investment Funds in China
Tang Shi-yuan · Journal of Northeastern University · 2009
According to the current situation in China and relevant constraint conditions,a robust portfolio optimization model was redeveloped to adapt to domestic circumstances.Taking account of the stock selection of China's New Blue Chip securities investment funds and using the linear matrix inequalities(LMI),the uncertainties of expected returns from stock prices,covariant matrix and interest rate in stock market were discussed.The weights of stocks selected and returns on investment of the New Blue Chip funds were therefore given and compared with the actual returns on investment funds.The empirical results indicated that the robust portfolio optimization model based on LMI is efficient and feasible in domestic funds management.