Multi-Period Portfolio Optimization Model with Cone Constraints and Discrete Decisions

This work develops a practical multi-period optimization approach that incorporates real-world constraints, including discrete decisions and conic risk constraints. Expanding upon earlier single-period models, our framework employs a binary scenario tree derived from monthly returns of randomly sele...

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Bibliographic Details

Published in:	Journal of risk and financial management Vol. 18; no. 4; p. 218
Main Authors:	Sağlam, Ümit, Benson, Hande Y.
Format:	Journal Article
Language:	English
Published:	Basel MDPI AG 01.04.2025
Subjects:	Algorithms Analysis Approximation Asset allocation Costs Decision making Diversification Investment analysis Investors Optimization Performance evaluation Random variables
ISSN:	1911-8074, 1911-8066, 1911-8074
Online Access:	Get full text
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