KMS Of Academy of mathematics and systems sciences, CAS
| Multi-period portfolio selection with investor views based on scenario tree | |
| Zhao, Daping1; Bai, Lin2; Fang, Yong2,3; Wang, Shouyang2,3 | |
| 2022-04-01 | |
| Source Publication | APPLIED MATHEMATICS AND COMPUTATION
 |
| ISSN | 0096-3003 |
| Volume | 418Pages:14 |
| Abstract | 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. |
| Keyword | Portfolio selection Multi-period Investor views Scenario tree Optimization |
| DOI | 10.1016/j.amc.2021.126813 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | National Natural Science Foundation of China[71701138] ; National Natural Science Foundation of China[71631008] |
| WOS Research Area | Mathematics |
| WOS Subject | Mathematics, Applied |
| WOS ID | WOS:000777771300016 |
| Publisher | ELSEVIER SCIENCE INC |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/60403 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Fang, Yong |
| Affiliation | 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 |
| Recommended Citation 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. |
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