Journal
ANNALS OF OPERATIONS RESEARCH
Volume 200, Issue 1, Pages 55-74Publisher
SPRINGER
DOI: 10.1007/s10479-010-0824-9
Keywords
Expectation type constraints; Robustness analysis; Contamination technique; Risk-shaping with CVaR; Second order stochastic dominance; Robust SSD portfolio efficiency test
Categories
Funding
- Czech Science Foundation [201/09/0133, 402/10/1610]
- [MSM 0021620839]
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This paper is a contribution to the robustness analysis for stochastic programs whose set of feasible solutions depends on the probability distribution P. For various reasons, probability distribution P may not be precisely specified and we study robustness of results with respect to perturbations of P. The main tool is the contamination technique. For the optimal value, local contamination bounds are derived and applied to robustness analysis of the optimal value of a portfolio performance under risk-shaping CVaR constraints. A new robust portfolio efficiency test with respect to the second order stochastic dominance criterion is suggested and the contamination methodology is exploited to analyze its resistance with respect to additional scenarios.
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