This study relaxes the distributional assumption of the return of the risky asset, to arrive at the optimal portfolio. Studies of portfolio selection models have typically assumed that stock returns conform to the normal distribution. The application of robust optimization techniques means that only the historical mean and variance of asset returns are required instead of distributional information. We show that the method results in an optimal portfolio that has comparable return and yet equivalent risk, to one that assumes normality of asset returns.

中文翻译：

---

基于CVaR的健壮模型用于投资组合选择

这项研究放宽了风险资产收益率的分配假设，从而获得了最佳投资组合。投资组合选择模型的研究通常假定股票收益符合正态分布。强大的优化技术的应用意味着只需要历史平均数和资产收益率的方差，而不是分配信息。我们表明，该方法可以得出一种最优投资组合，该投资组合具有与假定资产收益正常的资产相比可比较的收益和相同的风险。