Multi-period portfolio optimization under probabilistic risk measure

- Our paper provides a computationally simple analytical solution to the complex portfolio selection problem in a multi-period setting.
- Probabilistic risk measure can cater for investors with different degree of risk aversion.
- In our settings, the investors do not have to purchase a huge number of stocks to form an optimal portfolio.
- Our model is superior over its corresponding single period one, as well as over the market index.

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.