Robust Strategy for Dynamic Portfolio Based on Linear Matrix Inequalities
Huang Xiao · Journal of systems management · 2008
This paper takes account of the uncertainty of the expected return and covariant matrix in the stock market,and study the robust strategy of dynamic portfolio using linear matrix inequalities(LMI).On the foundation of tracking error portfolio model and robust optimization,we put forward a robust strategy of dynamic portfolio and develop a algorithm to solve it.The empirical analysis is given by the use of LMI according to the data from Shanghai Stock Exchange.The result indicates that the robust strategy of dynamic portfolio is efficient and feasible.