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

Table 3

The comparisons of return, variance, and information ratio of optimal solutions.

Model	Mean return (10^−3)	Standard deviation	Information ratio
Panel A: in-sample data
Benchmark	0.3850	1.1993𝑒−04	—
VTE	0.4304	0.0527	0.0782
𝑝=1
WCLPM1	0.4522	0.0548	0.0818
MVMWC	0.4256	0.0510	0.0759
IRMWC	0.1300	0.0170	0.0781
𝑝=2
WCLPM1	0.4412	0.0548	0.0813
MVMWC	0.4204	0.0510	0.0755
IRMWC	0.1365	0.0173	0.0786
𝑝=4
WCLPM1	0.4526	0.0543	0.0666
MVMWC	0.4278	0.0512	0.0626
IRMWC	0.1325	0.0139	0.0607
Panel B: out-of-sample data
Benchmark	0.2278	3.3696𝑒−004	—
MV	0.3925	0.0631	0.0102
𝑝=1
WCLPM1	0.4282	0.0642	0.0104
MVMWC	0.4033	0.0598	0.0099
IRMWC	0.1237	0.0235	0.0103
𝑝=2
WCLPM1	0.3851	0.0637	0.0102
MVMWC	0.3542	0.0593	0.0101
IRMWC	0.1032	0.0237	0.0102
𝑝=4
WCLPM1	0.4268	0.0649	0.0101
MVMWC	0.4006	0.0611	0.0101
IRMWC	0.1260	0.0208	0.0101