| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5053732 | Economic Modelling | 2015 | 8 Pages |
Abstract
This paper studies the problem of portfolio optimization when investors implement the stop strategy. We derived a new CVaR equation, known as SPP-CVaR. The SPP-CVaR method is tested by optimizing a portfolio using data from Shanghai stock market. The SPP-CVaR method can solve the problem of uncertain exit time due to the use of the stop strategy. By comparing the test results, we found that the SPP-CVaR method is better than the traditional CVaR method when investors implement the stop strategy.
Related Topics
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Economics and Econometrics
Authors
Liu Bin,