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
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