Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
Motivated by the asymmetrical attitudes of investors towards downside losses and upside gains, this paper proposes a robust multi-period portfolio selection model based on downside risk with asymmetrically distributed uncertainty set, in which the downside losses of a portfolio are controlled by the...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Elsevier BV * North-Holland
2019
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| Online Access: | http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/74439 |