A Numerical Study for Robust Active Portfolio Management with Worst-Case Downside Risk Measure

<table>The comparison of portfolio values of model <svg height="15.5125" id="M299" style="vertical-align:-3.276pt" version="1.1" viewbox="0 0 67.5 15.5125" width="67.5" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
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q0 -140 73.5 -227.5t188.5 -87.5q73 0 119.5 37.5t86.5 116.5z" id="x43"></path></g><g transform="matrix(.017,-0,0,-.017,27.244,11.363)"><path d="M495 163l30 -6q-19 -99 -36 -157h-453v28q63 5 77.5 20t14.5 78v400q0 63 -13 77t-75 19v28h261v-28q-61 -5 -74.5 -19t-13.5 -77v-395q0 -41 5 -59t18 -25q24 -13 96 -13q85 0 112 31q30 33 51 98z" id="x4C"></path></g><g transform="matrix(.017,-0,0,-.017,36.389,11.363)"><path d="M46 650h247q112 0 169 -41q64 -49 64 -141q0 -91 -56.5 -143t-138.5 -62q-23 -3 -45 -1l-74 19v-157q0 -63 15.5 -77t83.5 -19v-28h-271v28q60 5 74 20t14 77v400q0 65 -12.5 79t-69.5 18v28zM212 559v-245q31 -12 73 -12q59 0 102 38t43 124q0 77 -42.5 115.5
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h170v-28q-68 -6 -81 -21.5t-11 -91.5l9 -362q2 -80 15 -97t78 -22v-28z" id="x4D"></path></g>
<g transform="matrix(.012,-0,0,-.012,61.1,15.45)"><path d="M384 0h-275v27q67 5 81.5 18.5t14.5 68.5v385q0 38 -7.5 47.5t-40.5 10.5l-48 2v24q85 15 178 52v-521q0 -55 14.5 -68.5t82.5 -18.5v-27z" id="x31"></path></g>
</svg> for in-sample and out-of-sample data and different values of <svg height="13.3" id="M300" style="vertical-align:-3.50804pt" version="1.1" viewbox="0 0 10.2 13.3" width="10.2" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,8.863)"><path d="M570 304q0 -108 -87 -199q-40 -42 -94.5 -74t-105.5 -43q-41 0 -65 11l-29 -141q-9 -45 -1.5 -58t45.5 -16l26 -2l-5 -29l-241 -10l4 26q51 10 67.5 24t26.5 60l113 520q-54 -20 -89 -41l-7 26q38 28 105 53l11 49q20 25 77 58l8 -7l-17 -77q39 14 102 14q82 0 119 -36
t37 -108zM482 289q0 114 -113 114q-26 0 -66 -7l-70 -327q12 -14 32 -25t39 -11q59 0 118.5 81.5t59.5 174.5z" id="x1D45D"></path></g>
</svg>.</table>

Mathematical Problems in Engineering

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Figure 4

Figure 4: A Numerical Study for Robust Active Portfolio Management with Worst-Case Downside Risk Measure 