Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint

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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...

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Bibliographic Details
Main Authors:	Li, B., Zhu, Y., Sun, Y., Aw, Ee Ling Grace, Teo, Kok Lay
Format:	Journal Article
Published:	Elsevier 2018
Online Access:	http://hdl.handle.net/20.500.11937/65681

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