کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069341 1476986 2016 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Multi-period portfolio optimization under probabilistic risk measure
ترجمه فارسی عنوان
بهینه سازی نمونه چند دوره ای تحت اندازه گیری ریسک احتمالی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


- 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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 18, August 2016, Pages 60-66
نویسندگان
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