Dynamic portfolio optimization with risk control for absolute deviation model

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 inst...

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Bibliographic Details
Published in:	European journal of operational research Vol. 201; no. 2; pp. 349 - 364
Main Authors:	Yu, Mei, Takahashi, Satoru, Inoue, Hiroshi, Wang, Shouyang
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 01.03.2010 Elsevier Elsevier Sequoia S.A
Series:	European Journal of Operational Research
Subjects:	Absolute deviation Applied sciences Dynamic programming Exact sciences and technology Investment policy Linear programming Mathematical programming Operational research and scientific management Operational research. Management science Optimization algorithms Portfolio management Portfolio optimization Portfolio optimization Linear programming Absolute deviation Dynamic programming Portfolio theory Risk aversion Risk theory. Actuarial science Studies Portfolio optimization Linear programming Absolute deviation Dynamic programming Modeling Terminal Dynamic method Exact solution Optimal strategy Portfolio selection Risk management Portfolio management Investment
ISSN:	0377-2217, 1872-6860
Online Access:	Get full text
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