Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set

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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...

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Bibliographic Details
Main Authors:	Ling, A., Sun, Jie, Wang, M.
Format:	Journal Article
Published:	Elsevier BV * North-Holland 2019
Online Access:	http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/74439

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