Motivated by the topics of active portfolio management payed close attention by many researchers and the fact that there exists rare explicit approach in robust portfolio literature. We propose a robust expectation maximization active portfolio model subject to the worst-case 1-order lower partial moment risk and multiple weights constraints in this paper. We first explore the explicit solution of the proposed model. And then we compare the efficient frontier of the proposed model with the classical mean-variance tracking error model. Some new and interesting results are found in the comparisons.
展开▼
