Scholarlink

<p>We investigate robust models for Expected Shortfall (ES) and Omega Ratio (OR) optimization under joint uncertainty in both the probability distribution and the threshold. We apply this approach to actively manage portfolios comprising U.S. industry indices. Our empirical analysis shows that the robust ES and OR portfolios significantly outperform the benchmark index and active alternative strategies, even after adjusting for risk and transaction costs. Additionally, our findings demonstrate that the proposed robust optimization shifts allocations away from defensive sectors toward high-performing industries, capitalizing on upside-only momentum exposure and asset mispricing. Through simulation, we reveal that robust ES portfolios show pronounced advantages under high market volatility and cross-asset systematic risk variability, whereas robust OR portfolios benefit from low idiosyncratic volatility and notable asset mispricing. These findings underscore the effectiveness of robust ES and OR optimization in active portfolio management, highlighting their capacity to deliver strong performance and resilience under adverse market conditions.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Active portfolio management using robust optimization

  • 期刊论文

  • 出版模式：

    开放获取

  • 发表日期：

    2025年8月5日

查看全文
  • Illia Kovalenko,
  • Thomas Conlon,
  • John Cotter

摘要

We investigate robust models for Expected Shortfall (ES) and Omega Ratio (OR) optimization under joint uncertainty in both the probability distribution and the threshold. We apply this approach to actively manage portfolios comprising U.S. industry indices. Our empirical analysis shows that the robust ES and OR portfolios significantly outperform the benchmark index and active alternative strategies, even after adjusting for risk and transaction costs. Additionally, our findings demonstrate that the proposed robust optimization shifts allocations away from defensive sectors toward high-performing industries, capitalizing on upside-only momentum exposure and asset mispricing. Through simulation, we reveal that robust ES portfolios show pronounced advantages under high market volatility and cross-asset systematic risk variability, whereas robust OR portfolios benefit from low idiosyncratic volatility and notable asset mispricing. These findings underscore the effectiveness of robust ES and OR optimization in active portfolio management, highlighting their capacity to deliver strong performance and resilience under adverse market conditions.