Finite Horizon Portfolio Risk Models with Probability Criterion

Yuanlie Lin, Jerzy A. Filar and Ke Liu
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Yuanlie Lin: Tsinghua University, Department of Mathematical Sciences
Jerzy A. Filar: University of South Australia, Center for the Industrial and Applicable Mathematics, School of Mathematics
Ke Liu: The Chinese Academy of Science, Institute of Applied Mathematics, The Academy of Mathematics and System Sciences

Chapter Chapter 26 in Markov Processes and Controlled Markov Chains, 2002, pp 405-424 from Springer

Abstract: Abstract We consider a consumption investment decision problem over a finite time horizon with respect to a probability risk criterion. That is, we wish to determine how to maximize the probability of an investor’s wealth exceeding a given value at some finite stage T. Our model is different from traditional portfolio models in three aspects: Firstly, the model is based on discrete time, that is, the investor makes decisions at discrete time points and does not change his policy at any other moment. Secondly, only finitely many time stages are considered. Finally, the criterion is probabilistic which is different from the usual expectation criterion.

Keywords: Portfolio decision; probability criterion; investment decision. (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4613-0265-0_26

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DOI: 10.1007/978-1-4613-0265-0_26

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