Robust International Portfolio Optimization with Worst-Case Mean-LPM

<table class="table-group" id="tab14"><tr><td><table class="table"><tr><td class="thead-hr" colspan="8"><hr/></td></tr><tr class="thead"><td class="align_left"></td><td class="align_center">Mean</td><td class="align_center">Sharpe ratio</td><td class="align_center">Downside Sharpe</td><td class="align_center">UP ratio</td><td class="align_center">Mean/VaR</td><td class="align_center">Mean/CVaR</td><td class="align_center">Cumulative return</td></tr><tr><td class="thead-hr" colspan="8"><hr/></td></tr><tr><td class="align_left">RIML</td><td class="align_center">0.001654</td><td class="align_center">0.057576</td><td class="align_center">0.056534</td><td class="align_center">0.517410</td><td class="align_center">0.036149</td><td class="align_center">0.001183</td><td class="align_center">3.542119</td></tr><tr><td class="align_left"><span style="width: 37.3783ptpx;"><svg height="10.977pt" id="M278" style="vertical-align:-0.1803007pt" version="1.1" viewbox="-0.0498162 -10.7967 37.3783 10.977" 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144 479L130 271C123 166 117 123 111 88C104 46 85 34 26 28V0H259V28C192 35 169 42 167 90C166 130 166 173 170 256L185 541H187L411 7H431L675 555H679L683 147C683 41 680 35 598 28V0H861Z"></path></g><g transform="matrix(.013,0,0,-0.013,24.089,0)"><path d="M495 163C480 117 462 85 444 65C421 39 387 34 332 34C290 34 256 36 236 47C218 57 213 77 213 131V526C213 612 222 616 301 622V650H40V622C122 616 128 611 128 526V126C128 41 120 34 36 28V0H489C498 31 519 126 525 157L495 163Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,31.2,-5.741)"><path d="M556 236V289H56V236H556Z"></path></g></svg></span></td><td class="align_center">0.001341</td><td class="align_center">0.<svg height="10.3089pt" id="M279" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -10.1025 49.34 10.3089" width="49.34pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 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466 220C413 228 386 236 336 262C386 288 413 297 466 304C478 323 486 347 485 366C470 376 444 381 422 380C389 338 368 319 321 288C323 345 329 372 349 422C339 442 322 461 305 470C289 461 271 442 262 422C281 372 287 345 290 288C243 319 222 338 189 380C167 381 142 376 125 366C125 347 133 322 145 304C198 296 225 288 275 262C225 236 198 227 145 220C133 201 125 177 126 158C141 148 167 143 189 144C222 186 243 205 290 236C288 179 282 152 262 102C272 82 289 63 306 54C322 63 340 82 350 102C330 152 324 179 321 236C368 205 390 186 422 144C444 143 470 148 486 158Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,43.14,-5.741)"><path d="M486 158C486 177 478 202 466 220C413 228 386 236 336 262C386 288 413 297 466 304C478 323 486 347 485 366C470 376 444 381 422 380C389 338 368 319 321 288C323 345 329 372 349 422C339 442 322 461 305 470C289 461 271 442 262 422C281 372 287 345 290 288C243 319 222 338 189 380C167 381 142 376 125 366C125 347 133 322 145 304C198 296 225 288 275 262C225 236 198 227 145 220C133 201 125 177 126 158C141 148 167 143 189 144C222 186 243 205 290 236C288 179 282 152 262 102C272 82 289 63 306 54C322 63 340 82 350 102C330 152 324 179 321 236C368 205 390 186 422 144C444 143 470 148 486 158Z"></path></g></svg> (0.020987)</td><td class="align_center">0.044856</td><td class="align_center">0.507387</td><td class="align_center">0.029304</td><td class="align_center">0.000942</td><td class="align_center">2.287160</td></tr><tr><td class="align_left">SIML</td><td class="align_center">0.001351</td><td class="align_center">0.<svg height="10.3089pt" id="M280" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -10.1025 49.34 10.3089" width="49.34pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 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<div>Realized performances of models RIML, <span class="nowrap"><svg height="10.977pt" id="M276" style="vertical-align:-0.1803007pt" version="1.1" viewbox="-0.0498162 -10.7967 37.3783 10.977" width="37.3783pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M631 18C609 24 585 35 559 65C534 91 514 117 478 169C448 214 406 281 389 313C462 346 516 399 516 485C516 545 490 590 449 616C412 641 363 650 290 650H42V622C120 615 128 612 128 527V125C128 40 120 34 38 28V0H300V28C221 34 212 40 212 125V284H244C295 284 312 272 329 244C359 195 395 133 430 84C475 19 516 -3 592 -7C603 -8 615 -8 627 -8L631 18ZM212 316V563C212 591 215 602 223 607C231 613 248 617 277 617C352 617 423 577 423 469C423 415 407 375 368 345C343 324 310 316 260 316H212Z"></path></g><g transform="matrix(.013,0,0,-0.013,8.073,0)"><path d="M303 0V28C221 34 213 39 213 125V525C213 610 221 616 303 622V650H38V622C120 616 128 610 128 525V125C128 40 120 34 38 28V0H303Z"></path></g><g transform="matrix(.013,0,0,-0.013,12.506,0)"><path d="M861 0V28C774 35 771 41 768 147L759 509C756 612 762 614 851 622V650H681L449 149L221 650H57V622C148 613 153 609 144 479L130 271C123 166 117 123 111 88C104 46 85 34 26 28V0H259V28C192 35 169 42 167 90C166 130 166 173 170 256L185 541H187L411 7H431L675 555H679L683 147C683 41 680 35 598 28V0H861Z"></path></g><g transform="matrix(.013,0,0,-0.013,24.089,0)"><path d="M495 163C480 117 462 85 444 65C421 39 387 34 332 34C290 34 256 36 236 47C218 57 213 77 213 131V526C213 612 222 616 301 622V650H40V622C122 616 128 611 128 526V126C128 41 120 34 36 28V0H489C498 31 519 126 525 157L495 163Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,31.2,-5.741)"><path d="M556 236V289H56V236H556Z"></path></g></svg>,</span> SIML, and EW according to various performance measures when <span class="nowrap"><svg height="9.49473pt" id="M277" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -9.28833 50.2546 9.49473" width="50.2546pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M529 97L508 118C475 75 449 58 438 58C428 58 421 66 415 104C393 234 374 403 364 496C345 670 307 712 254 712C220 712 174 691 153 669L161 645C176 653 194 658 206 658C237 658 261 640 278 562C287 522 290 483 293 434C223 269 110 105 23 9L32 -12C59 -6 85 0 108 7C152 64 251 252 300 366C307 297 315 221 337 82C346 24 363 -12 393 -12C425 -12 475 13 529 97Z"></path></g><g transform="matrix(.013,0,0,-0.013,10.806,0)"><path d="M535 323V373H52V323H535ZM535 138V188H52V138H535Z"></path></g><g transform="matrix(.013,0,0,-0.013,22.068,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g><g transform="matrix(.013,0,0,-0.013,28.308,0)"><path d="M113 -12C146 -12 170 11 170 46C170 78 146 103 114 103S58 78 58 46C58 11 82 -12 113 -12Z"></path></g><g transform="matrix(.013,0,0,-0.013,31.272,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g><g transform="matrix(.013,0,0,-0.013,37.512,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g><g transform="matrix(.013,0,0,-0.013,43.752,0)"><path d="M384 0V27C293 34 287 42 287 114V635C232 613 172 594 109 583V559L157 557C201 555 205 550 205 499V114C205 42 199 34 109 27V0H384Z"></path></g></svg>.</span></div>

Mathematical Problems in Engineering

Robust International Portfolio Optimization with Worst-Case Mean-LPM

Table 14