Multi-period portfolio optimization under probabilistic risk measure
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.
| Main Authors: | , , , , |
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| Format: | Journal Article |
| Published: |
Academic Press
2016
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| Online Access: | http://hdl.handle.net/20.500.11937/46377 |