G-VaR, which is a type of worst-case value-at-risk (VaR), is defined as measuring risk incorporating model uncertainty. Compared with most extant notions of worst-case VaR, G-VaR can be computed using an explicit formula, and can be applied to large portfolios of several hundred dimensions with low computational cost. We also apply G-VaR to robust portfolio optimization, thereby providing a tractable means to facilitate optimal allocations under the condition of market ambiguity.

中文翻译：

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G-VaR提出的最坏情况风险衡量

G-VaR是一种最坏情况的风险价值（VaR），定义为结合模型不确定性的风险度量。与最坏情况下的VaR的大多数现有概念相比，G-VaR可以使用显式公式进行计算，并且可以以较低的计算成本将其应用于几百个维度的大型投资组合中。我们还将G-VaR应用于稳健的投资组合优化，从而提供了一种易于处理的方法，可以在市场模棱两可的情况下促进最优分配。