More Than The Confidence Level Of Worst-case Conditions Of Risk Model And Its Applications

Multi-objective decision making (MODM)and portfolio analysis are important issues in decision making analysis. There are widely used in economics, finance, engineering and other fields. Based on the concept of the MODM and Worst-case Conditional Value-at-Risk (WCVaR), this paper presents several robust portfolio models. Furthermore, the characteristic and calculation of these new models are investigated. The primary contents are as follows:Chapter one proposes the research background , introduces the development situation of risk measurement and MODM, describes Lagrangian duality theory and minimized risk problem based on the multiple objectives of stochastic programming, puts forward the innovation of this paper.Chapter two makes a brief instruction to the CVaR(Conditional Value-at-Risk) and WCVaR(Worst-case Conditional Value-at-Risk),establishes several risk-return models under the constraints of CVaR and WCVaR.Chapter three is one of the two main contents of this paper. Firstly,considering Worst-case Conditional Value at Risk(WCVaR)as a measure of market risk, this chapter builds a optimization model of multi-confidence levels minimization WCVaR. Secondly, under the assumption of box discrete distribution of random variables, it transfers the complex optimization model to traditional single-target linear programming by using multi-objective decision and duality theory. Thirdly, in the background of power allocation of suppliers in power markets ,it adopts monte-carlo simulations to test the model and the approach.Chapter four is another main content in this paper. It introduces the mixture distribution ,presents three risk-return robust portfolio models based on the multi-confidence levels, reduces the three complex models with the linear loss function, and test the validity of these models by using monte-carlo simulation in the background of power allocation of suppliers in power markets.Chapter five is the summary of this paper. It makes the final conclusion of this paper and puts forward the direction of further studying.