Chance-constrained portfolio problem
Guangquan Li · Journal of systems engineering · 2002
Different investors had different expected rates of return and different confidence levels, so they would make different investment decisions. When securities rates of return obeyed normal distribution, a chance-constrained portfolio problem with short selling, which was determined by expected rate of return and confidence level, was put forward. Its mathematical model was established, and the properties of existence and uniqueness of the optimal solution were discussed. Furthermore, the explicit representation of the optimal solution is given. By Matlab language, the program of obtaining efficient frontier, permission set, mean and standard deviation of the optimal solution is devised. Finally, an illustrative example is provided.