Fig 1.
Comparisons of different approximations for the indicator function.
Left: This plot compares the convex approximation CVaR for the indicator function to its corresponding PC approximation that is equivalent to the DC approximation proposed by [9]. Right: This plot compares the convex approximation EVaR for the indicator function to its corresponding PC approximation.
Fig 2.
Comparisons of different net asset value curves for different approximations.
Left: θ = 0.1. The method radius_0.1 is a EVaR-based strategy calculated by weights x*, while radius_0.1_PC is calculated by its corresponding weights . Right: θ = 0.5. The method radius_0.5 is a EVaR-based strategy calculated by weights x*, while radius_0.5_PC is calculated by its corresponding weights
.
Table 1.
The performance of different methods and benchmarks (Annualization).
Fig 3.
Comparisons of the portfolio performance under different Wasserstein radius.
Fig 4.
Comparisons of different net asset value curves for different α.
Let α = 0.05, 0.1 and 0.2, and θ = 0.1. For alpha_0.05, x = x* if , otherwise x = 0. For alpha_0.1, x = x* if
, otherwise x = 0. For alpha_0.2, x = x* if
, otherwise x = 0.
Table 2.
The performance of methods with different α (Annualization).