Multi-period portfolio optimization under probabilistic risk measure

被引：10
|
作者：
Sun, Yufei [1 ]
Aw, Grace [2 ]
Teo, Kok Lay [2 ]
Zhu, Yanjian [3 ]
Wang, Xiangyu [1 ,4 ]
机构：
[1] Curtin Univ, Australasian Joint Res Ctr BIM, Perth, WA, Australia
[2] Curtin Univ, Dept Math & Stat, Perth, WA, Australia
[3] Zhejiang Univ, Coll Econ, Acad Financial Res, Hangzhou, Zhejiang, Peoples R China
[4] Kyung Hee Univ, Dept Housing & Interior Design, Seoul, South Korea
来源：
FINANCE RESEARCH LETTERS | 2016年 / 18卷
关键词：
Portfolio optimization; Probability risk measure; Discrete-time optimal control; Dynamic programming; VALUE-AT-RISK; CONDITIONAL VALUE; DOWNSIDE RISK; SELECTION; CVAR; VARIANCE; MODEL;
D O I：
10.1016/j.frl.2016.04.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper develops a minimax model for a multi-period portfolio selection problem. An analytical solution is obtained and numerical simulations demonstrate the superiority of the multi-period model over its corresponding single period one, as well as over the market index. (C) 2016 Elsevier Inc. All rights reserved.
引用
收藏
页码：60 / 66
页数：7
相关论文
共 50 条
  • [1] Multi-period portfolio optimization under possibility measures
    Zhang, Xili
    Zhang, Weiguo
    Xiao, Weilin
    [J]. ECONOMIC MODELLING, 2013, 35 : 401 - 408
  • [2] Multi-period mean–semivariance portfolio optimization based on uncertain measure
    Wei Chen
    Dandan Li
    Shan Lu
    Weiyi Liu
    [J]. Soft Computing, 2019, 23 : 6231 - 6247
  • [3] Robust scenario optimization based on downside-risk measure for multi-period portfolio selection
    Mustafa Ç. Pınar
    [J]. OR Spectrum, 2007, 29 : 295 - 309
  • [4] Robust scenario optimization based on downside-risk measure for multi-period portfolio selection
    Pinar, Mustafa C.
    [J]. OR SPECTRUM, 2007, 29 (02) : 295 - 309
  • [5] Multi-period mean-semivariance portfolio optimization based on uncertain measure
    Chen, Wei
    Li, Dandan
    Lu, Shan
    Liu, Weiyi
    [J]. SOFT COMPUTING, 2019, 23 (15) : 6231 - 6247
  • [6] Multi-Period Portfolio Optimization with Investor Views under Regime Switching
    Oprisor, Razvan
    Kwon, Roy
    [J]. JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2021, 14 (01)
  • [7] Hedging strategies for multi-period portfolio optimization
    Davari-Ardakani, H.
    Aminnayeri, M.
    Seifi, A.
    [J]. SCIENTIA IRANICA, 2015, 22 (06) : 2644 - 2663
  • [8] Multi-period portfolio optimization: Translation of autocorrelation risk to excess variance
    Choi, Byung-Geun
    Rujeerapaiboon, Napat
    Jiang, Ruiwei
    [J]. OPERATIONS RESEARCH LETTERS, 2016, 44 (06) : 801 - 807
  • [9] MULTI-PERIOD PORTFOLIO OPTIMIZATION OF POWER GENERATION ASSETS
    Glensk, Barbara
    Madlener, Reinhard
    [J]. OPERATIONS RESEARCH AND DECISIONS, 2013, 23 (04) : 21 - 38
  • [10] A stochastic programming approach for multi-period portfolio optimization
    Geyer, Alois
    Hanke, Michael
    Weissensteiner, Alex
    [J]. COMPUTATIONAL MANAGEMENT SCIENCE, 2009, 6 (02) : 187 - 208
12345