Research Article
New Safe Approximation of Ambiguous Probabilistic Constraints for Financial Optimization Problem
Table 5
The optimal portfolio strategies produced by nominal distribution model (
31) (%).
| | | | | | | | | | | |
| | 0.91 | - | - | - | - | - | - | - | - | 23.805630 | 76.194370 | | 0.92 | - | - | - | - | - | - | - | - | 25.430380 | 74.569620 | | 0.93 | - | - | - | - | - | - | - | 0.341380 | 26.757220 | 72.901400 | | 0.94 | - | - | - | - | - | - | - | 3.227114 | 27.332420 | 69.440470 | | 0.95 | - | - | - | - | - | - | - | 5.835254 | 27.852130 | 66.312620 | | 0.96 | - | - | - | - | - | - | - | 8.179620 | 28.319590 | 63.500790 | | 0.97 | - | - | - | - | - | - | - | 10.621300 | 28.806190 | 60.572500 | | 0.98 | - | - | - | - | - | - | - | 13.112000 | 29.302940 | 57.585060 | | 0.99 | - | - | - | - | - | - | - | 16.123170 | 29.902920 | 53.973910 |
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