کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
482377 | 1446133 | 2010 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Dynamic portfolio optimization with risk control for absolute deviation model
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Dynamic portfolio optimization with risk control for absolute deviation model Dynamic portfolio optimization with risk control for absolute deviation model](/preview/png/482377.png)
چکیده انگلیسی
In this paper, we present a new multiperiod portfolio selection with maximum absolute deviation model. The investor is assumed to seek an investment strategy to maximize his/her terminal wealth and minimize the risk. One typical feature is that the absolute deviation is employed as risk measure instead of classical mean variance method. Furthermore, risk control is considered in every period for the new model. An analytical optimal strategy is obtained in a closed form via dynamic programming method. Algorithm with some examples is also presented to illustrate the application of this model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 201, Issue 2, 1 March 2010, Pages 349–364
Journal: European Journal of Operational Research - Volume 201, Issue 2, 1 March 2010, Pages 349–364
نویسندگان
Mei Yu, Satoru Takahashi, Hiroshi Inoue, Shouyang Wang,