Dynamic portfolio optimization with risk control for absolute deviation model

doi:10.1016/j.ejor.2009.03.009

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	Dynamic portfolio optimization with risk control for absolute deviation model
	Yu, Mei 1,2; Takahashi, Satoru 2; Inoue, Hiroshi 2; Wang, Shouyang3
	2010-03-01
发表期刊	EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
ISSN	0377-2217
卷号	201 期号:2 页码:349-364
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.
关键词	Portfolio optimization Linear programming Absolute deviation Dynamic programming
DOI	10.1016/j.ejor.2009.03.009
语种	英语
WOS研究方向	Business & Economics ; Operations Research & Management Science
WOS类目	Management ; Operations Research & Management Science
WOS记录号	WOS:000270964900002
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/9631
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.