Multi-period portfolio selection with investor views based on scenario tree

doi:10.1016/j.amc.2021.126813

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	Multi-period portfolio selection with investor views based on scenario tree
	Zhao, Daping 1; Bai, Lin 2; Fang, Yong 2,3; Wang, Shouyang 2,3
	2022-04-01
发表期刊	APPLIED MATHEMATICS AND COMPUTATION
ISSN	0096-3003
卷号	418 页码:14
摘要	How to measure investor views and apply it in multi-period investment is an impor-tant problem in portfolio selection . This paper attempts to construct a portfolio selection model with extreme situations and extend it under the multi-period framework. First, we modify a portfolio selection model to fit the extreme cases of 0% or 100% confidence views, then we establish a new programming problem based on optimization approach and figure out the explicit solutions. Second, we extend the model to multi-period form and discretize the results with scenario tree, which solves the multi-period problems. Third, we build an international portfolio with CVaR risk measurement. The numerical tests show that the new multi-period selection model performs better than the others.(c) 2021 Elsevier Inc. All rights reserved.
关键词	Portfolio selection Multi-period Investor views Scenario tree Optimization
DOI	10.1016/j.amc.2021.126813
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[71701138] ; National Natural Science Foundation of China[71631008]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000777771300016
出版者	ELSEVIER SCIENCE INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/60403
专题	中国科学院数学与系统科学研究院
通讯作者	Fang, Yong
作者单位	1.Capital Univ Econ & Business, Sch Finance, Beijing 100070, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Zhao, Daping,Bai, Lin,Fang, Yong,et al. Multi-period portfolio selection with investor views based on scenario tree[J]. APPLIED MATHEMATICS AND COMPUTATION,2022,418:14.
APA	Zhao, Daping,Bai, Lin,Fang, Yong,&Wang, Shouyang.(2022).Multi-period portfolio selection with investor views based on scenario tree.APPLIED MATHEMATICS AND COMPUTATION,418,14.
MLA	Zhao, Daping,et al."Multi-period portfolio selection with investor views based on scenario tree".APPLIED MATHEMATICS AND COMPUTATION 418(2022):14.