Active Portfolio Management Problems with Multiple Weights Constraints

Motivated by the topics of active portfolio management payed close attention by many researchers and the fact that there exists rarely explicit solution approach in robust portfolio literature. We propose an active portfolio model in which we minimize the worst-case probability loss of portfolio subject to multiple weights constraints. We explore the explicit solution of the proposed model. And 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.