报告题目:Robust Optimization Technique for Portfolio Selection with Risk Adjusted Return on Capital
Professor in Department of Mathematics and Statistics，Minnesota State University, Mankato,USA
We investigate the portfolio selection problem by maximizing Risk Adjusted Return on Capital (RAROC). It is shown that the problem can be solved by solving a second order cone optimization problem and linear optimization problem. Robust optimization technique is used for solving the maximum RAROC problem with random return variables. Multi-period investment problem is also considered. Numerical tests show that the method is promising.