Multiperiod portfolio selection on a minimax rule

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	Multiperiod portfolio selection on a minimax rule
	Yu, M ; Wang, SY; Lai, KK ; Chao, X
	2005-08-01
发表期刊	DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS
ISSN	1492-8760
卷号	12 期号:4 页码:565-587
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.
关键词	portfolio optimization minimax rule bicriteria piecewise linear program dynamic programming
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000232424400006
出版者	WATAM PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/1027
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.