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Dynamic portfolio optimization with risk control for absolute deviation model

文献类型：期刊论文

作者Yu, Mei1,2; Takahashi, Satoru2; Inoue, Hiroshi2; Wang, Shouyang3
刊名EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
出版日期2010-03-01
卷号201期号:2页码:349-364
关键词Portfolio optimization Linear programming Absolute deviation Dynamic programming
ISSN号0377-2217
DOI10.1016/j.ejor.2009.03.009
英文摘要In this paper, we present a new multiperiod portfolio selection with maximum absolute deviation model. The investor is assumed to seek an investment strategy to maximize his/her terminal wealth and minimize the risk. One typical feature is that the absolute deviation is employed as risk measure instead of classical mean variance method. Furthermore, risk control is considered in every period for the new model. An analytical optimal strategy is obtained in a closed form via dynamic programming method. Algorithm with some examples is also presented to illustrate the application of this model. (C) 2009 Elsevier B.V. All rights reserved.
WOS研究方向Business & Economics ; Operations Research & Management Science
语种英语
WOS记录号WOS:000270964900002
出版者ELSEVIER SCIENCE BV
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/9630]  
专题系统科学研究所
通讯作者Yu, Mei
作者单位1.Univ Int Business & Econ, Sch Finance & Banking, Beijing 100029, Peoples R China
2.Tokyo Univ Sci, Sch Management, Kuki, Saitama 3468512, Japan
3.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
推荐引用方式
GB/T 7714		 Yu, Mei,Takahashi, Satoru,Inoue, Hiroshi,et al. Dynamic portfolio optimization with risk control for absolute deviation model[J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,2010,201(2):349-364.
APA Yu, Mei,Takahashi, Satoru,Inoue, Hiroshi,&Wang, Shouyang.(2010).Dynamic portfolio optimization with risk control for absolute deviation model.EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,201(2),349-364.
MLA Yu, Mei,et al."Dynamic portfolio optimization with risk control for absolute deviation model".EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 201.2(2010):349-364.

入库方式： OAI收割

来源：数学与系统科学研究院

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