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Optimal Stochastic Robust Controllers based on Mean- CVaR Sliding Function and its Application in Pairs Trading Strategy | ||
| Computational Methods for Differential Equations | ||
| مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 04 مرداد 1405 اصل مقاله (2.86 M) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22034/cmde.2026.68658.3339 | ||
| نویسندگان | ||
| Tahereh Azizpour1؛ Majid Yarahmadi* 2 | ||
| 1Department of Mathematics and Computer Science, Lorestan University, Khorramabad, Lorestan 44316- 68151, Iran. | ||
| 21. Department of Mathematics and Computer Science, Lorestan University, Khorramabad, Lorestan 44316- 68151, Iran. 2. Faculty of Mathematics and Statistics, Isfahan University, Isfahan, 03137934611, Iran. | ||
| چکیده | ||
| Robust control of some nonlinear stochastic risky systems, in the presence of uncertainties and undesirable risks, requires the use of suitable and coherent risk measurement tool and efficient filters. In this paper, two new optimal robust stochastic controllers are designed for nonlinear stochastic risk systems and applications in financial engineering. For this purpose, a new weighted conditional sliding function is designed based on a new convex, coherent and differentiable risk measure of the state variables. Also, a new efficient frontier with slope CVaR-Sharp- ratio is designed to optimally estimate the weight of the CVaR measure in the proposed conditional sliding function, based on the efficient frontier analysis approach. Additionally, the adaptive boundary layer width and robust controllers are tuned to increase the performance of the proposed controllers. Also, four theorems are proved and a new algorithm is designed for stability analysis and computational support. Finally, to demonstrate the advantages of the proposed methods, a pair trading stock problem is simulated. The simulation results show that the proposed methods improve portfolio returns and achieve effective CVaR-based risk control. | ||
| کلیدواژه‌ها | ||
| Stochastic Sliding Mode Control؛ Boundary Layer؛ Conditional Value at Risk؛ Efficient Frontier؛ Portfolio Optimization | ||
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آمار تعداد مشاهده مقاله: 78 تعداد دریافت فایل اصل مقاله: 79 |
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