Multi-period portfolio optimization under probabilistic risk measure

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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.

Bibliographic Details
Main Authors:	Sun, Y., Aw, G., Teo, K., Zhu, Y., Wang, Xiangyu
Format:	Journal Article
Published:	Academic Press 2016
Online Access:	http://hdl.handle.net/20.500.11937/46377

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