TY - JOUR
T1 - Multiperiod portfolio selection on a minimax rule
AU - Yu, Mei
AU - Wang, Shou-Yang
AU - Lai, Kin Keung
AU - Chao, X.
PY - 2005/8
Y1 - 2005/8
N2 - In this paper, we study the multiperiod portfolio selection problem in a financial market using a minimax principle. The investor seeks an investment strategy to maximize his/her terminal wealth and to minimize the total risk which is defined as the sum of the maximum of absolute deviations of investment on each asset over all periods. A closed-form analytical optimal strategy is obtained via dynamic programming method. This model can be used as an alternative to the multiperiod asset allocation model, first proposed by Markowitz (1959), in which the risk is defined as the variance of the terminal wealth. An example is given to demonstrate the application of this model. Copyright © 2005 Watam Press.
AB - In this paper, we study the multiperiod portfolio selection problem in a financial market using a minimax principle. The investor seeks an investment strategy to maximize his/her terminal wealth and to minimize the total risk which is defined as the sum of the maximum of absolute deviations of investment on each asset over all periods. A closed-form analytical optimal strategy is obtained via dynamic programming method. This model can be used as an alternative to the multiperiod asset allocation model, first proposed by Markowitz (1959), in which the risk is defined as the variance of the terminal wealth. An example is given to demonstrate the application of this model. Copyright © 2005 Watam Press.
KW - Bicriteria piecewise linear program
KW - Dynamic programming
KW - Minimax rule
KW - Portfolio optimization
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UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-26444578946&origin=recordpage
M3 - RGC 21 - Publication in refereed journal
SN - 1492-8760
VL - 12
SP - 565
EP - 587
JO - Dynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms
JF - Dynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms
IS - 4
ER -