Multi‐period portfolio selection with investor views based on scenario tree

Daping Zhao, Lin Bai, Yong Fang and Shouyang Wang

Applied Mathematics and Computation, 2022, vol. 418, issue C

Abstract: How to measure investor views and apply it in multi-period investment is an important problem in portfolio selection. This paper attempts to construct a portfolio selection model with extreme situations and extend it under the multi-period framework. First, we modify a portfolio selection model to fit the extreme cases of 0% or 100% confidence views, then we establish a new programming problem based on optimization approach and figure out the explicit solutions. Second, we extend the model to multi-period form and discretize the results with scenario tree, which solves the multi-period problems. Third, we build an international portfolio with CVaR risk measurement. The numerical tests show that the new multi-period selection model performs better than the others.

Keywords: Portfolio selection; Multi-period; Investor views; Scenario tree; Optimization (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:418:y:2022:i:c:s0096300321008961

DOI: 10.1016/j.amc.2021.126813

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