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: | , , , , |
|---|---|
| Format: | Journal Article |
| Published: |
Academic Press
2016
|
| Online Access: | http://hdl.handle.net/20.500.11937/46377 |
| _version_ | 1848757540417961984 |
|---|---|
| author | Sun, Y. Aw, G. Teo, K. Zhu, Y. Wang, Xiangyu |
| author_facet | Sun, Y. Aw, G. Teo, K. Zhu, Y. Wang, Xiangyu |
| author_sort | Sun, Y. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T09:29:43Z |
| format | Journal Article |
| id | curtin-20.500.11937-46377 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:29:43Z |
| publishDate | 2016 |
| publisher | Academic Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-463772017-09-13T13:37:32Z Multi-period portfolio optimization under probabilistic risk measure Sun, Y. Aw, G. Teo, K. Zhu, Y. Wang, Xiangyu 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. 2016 Journal Article http://hdl.handle.net/20.500.11937/46377 10.1016/j.frl.2016.04.001 Academic Press restricted |
| spellingShingle | Sun, Y. Aw, G. Teo, K. Zhu, Y. Wang, Xiangyu Multi-period portfolio optimization under probabilistic risk measure |
| title | Multi-period portfolio optimization under probabilistic risk measure |
| title_full | Multi-period portfolio optimization under probabilistic risk measure |
| title_fullStr | Multi-period portfolio optimization under probabilistic risk measure |
| title_full_unstemmed | Multi-period portfolio optimization under probabilistic risk measure |
| title_short | Multi-period portfolio optimization under probabilistic risk measure |
| title_sort | multi-period portfolio optimization under probabilistic risk measure |
| url | http://hdl.handle.net/20.500.11937/46377 |