Journal of Advanced Mathematical Modeling

Journal of Advanced Mathematical Modeling

Robust mean-CVaR under distribution and mean return ambiguity

Document Type : Original Paper

Authors
Havva Dadashi Einsheikh
Maziar Salahi
University of Guilan
10.22055/jamm.2025.48277.2327
Abstract
In this paper, we consider the problem of optimal portfolio selection using CVaR measure for a
financial market consisting of n risky assets and a riskless asset, where short positions are allowed. First,
we obtain the distributionally robust portfolio when the distribution of return of assets is unknown but the
mean return vector and variance/covariance matrix of assets are fixed. Then, we present an explicit solution
for the problem of robust CVaR portfolio selection in the presence of a riskless asset and without the riskless
asset with a maximum loss constraint, in the case that the mean return is in ellipsoidal uncertainty set and
the distribution of returns unknown.
Keywords
Robust portfolio
Conditional Value at Risk
distributional uncertainty
ellipsoidal uncertainty
Subjects
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می

  • Receive Date 02 November 2024
  • Revise Date 07 May 2025
  • Accept Date 19 October 2025