Multi-period portfolio optimization under probabilistic risk measure
| dc.contributor.author | Sun, Y. | |
| dc.contributor.author | Aw, G. | |
| dc.contributor.author | Teo, K. | |
| dc.contributor.author | Zhu, Y. | |
| dc.contributor.author | Wang, Xiangyu | |
| dc.date.accessioned | 2017-01-30T15:26:56Z | |
| dc.date.available | 2017-01-30T15:26:56Z | |
| dc.date.created | 2016-04-28T19:30:18Z | |
| dc.date.issued | 2016 | |
| dc.identifier.citation | 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. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/46377 | |
| dc.identifier.doi | 10.1016/j.frl.2016.04.001 | |
| dc.description.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. | |
| dc.publisher | Academic Press | |
| dc.title | Multi-period portfolio optimization under probabilistic risk measure | |
| dc.type | Journal Article | |
| dcterms.source.issn | 1544-6123 | |
| dcterms.source.title | Finance Research Letters | |
| curtin.department | Department of Construction Management | |
| curtin.accessStatus | Fulltext not available |
Files in this item
| Files | Size | Format | View |
|---|---|---|---|
|
There are no files associated with this item. |
|||