Multi-period portfolio optimization under probabilistic risk measure
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Authors
Sun, Y.
Aw, G.
Teo, K.
Zhu, Y.
Wang, Xiangyu
Date
2016Type
Journal Article
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Sun, Y. and Aw, G. and Teo, K. and Zhu, Y. and Wang, X. 2016. Multi-period portfolio optimization under probabilistic risk measure. Finance Research Letters. 18: pp. 60-66.
Source Title
Finance Research Letters
ISSN
School
Department of Construction Management
Collection
Abstract
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.
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