Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint
The complexity of financial markets leads to different types of indeterminate asset returns. For example, asset returns are considered as random variables, when the available data is enough. When the available data is too small or even no available data to estimate a probability distribution, we hav...
| Main Authors: | , , , , |
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| Format: | Journal Article |
| Published: |
Elsevier
2018
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| Online Access: | http://hdl.handle.net/20.500.11937/65681 |