Multi-period portfolio optimization under probabilistic risk measure

Yufei Sun, Grace Aw, Kok Lay Teo, Yanjian Zhu and Xiangyu Wang

Finance Research Letters, 2016, vol. 18, issue C, 60-66

Abstract: 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.

Keywords: Portfolio optimization; Probability risk measure; Discrete-time optimal control; Dynamic programming (search for similar items in EconPapers)
JEL-codes: C61 G11 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:18:y:2016:i:c:p:60-66

DOI: 10.1016/j.frl.2016.04.001

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