Multiperiod portfolio selection on a minimax rule
文献类型：期刊论文
| 作者 | Yu, M; Wang, SY ; Lai, KK; Chao, X
|
| 刊名 | DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS
 |
| 出版日期 | 2005-08-01 |
| 卷号 | 12期号:4页码:565-587 |
| 关键词 | portfolio optimization minimax rule bicriteria piecewise linear program dynamic programming |
| ISSN号 | 1492-8760 |
| 英文摘要 | In this paper, we study the multiperiod portfolio selection problem in a financial market using a minimax principle. The investor seeks an investment strategy to maximize his/her terminal wealth and to minimize the total risk which is defined as the sum of the maximum of absolute deviations of investment on each asset over all periods. A closed-form analytical optimal strategy is obtained via dynamic programming method. This model can be used as an alternative to the multiperiod asset allocation model, first proposed by Markowitz (1959), in which the risk is defined as the variance of the terminal wealth. An example is given to demonstrate, the application of this model. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000232424400006 |
| 出版者 | WATAM PRESS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/1026]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Yu, M |
| 作者单位 | 1.Univ Int Business & Econ, Sch Business & Finance, Beijing 100029, Peoples R China 2.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 3.City Univ Hong Kong, Dept Management Sci, Hong Kong, Hong Kong, Peoples R China 4.Hunan Univ, Coll Business Adm, Changsha 410082, Peoples R China 5.N Carolina State Univ, Dept Ind Engn, Raleigh, NC 27695 USA |
| 推荐引用方式 GB/T 7714 | Yu, M,Wang, SY,Lai, KK,et al. Multiperiod portfolio selection on a minimax rule[J]. DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS,2005,12(4):565-587. |
| APA | Yu, M,Wang, SY,Lai, KK,&Chao, X.(2005).Multiperiod portfolio selection on a minimax rule.DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS,12(4),565-587. |
| MLA | Yu, M,et al."Multiperiod portfolio selection on a minimax rule".DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS 12.4(2005):565-587. |
入库方式： OAI收割
来源：数学与系统科学研究院
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