Dynamic portfolio optimization with risk control for absolute deviation model

被引：40

作者：

Yu, Mei ^{[1
,2
]}

Takahashi, Satoru ^{[2
]}

Inoue, Hiroshi ^{[2
]}

Wang, Shouyang ^{[3
]}

机构：

[1] Univ Int Business & Econ, Sch Finance & Banking, Beijing 100029, Peoples R China

[2] Tokyo Univ Sci, Sch Management, Kuki, Saitama 3468512, Japan

[3] Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2010年 / 201卷 / 02期

关键词：

Portfolio optimization; Linear programming; Absolute deviation; Dynamic programming; MEAN-VARIANCE FORMULATION; MINIMAX RULE; SELECTION; POLICIES; STRATEGIES; BANKRUPTCY; CHOICE;

D O I：

10.1016/j.ejor.2009.03.009

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this paper, we present a new multiperiod portfolio selection with maximum absolute deviation model. The investor is assumed to seek an investment strategy to maximize his/her terminal wealth and minimize the risk. One typical feature is that the absolute deviation is employed as risk measure instead of classical mean variance method. Furthermore, risk control is considered in every period for the new model. An analytical optimal strategy is obtained in a closed form via dynamic programming method. Algorithm with some examples is also presented to illustrate the application of this model. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：349 / 364

页数：16

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