Multiperiod portfolio selection on a minimax rule
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 565-587 |
| Journal / Publication | Dynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms |
| Volume | 12 |
| Issue number | 4 |
| Publication status | Published - Aug 2005 |
Link(s)
Abstract
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.
Research Area(s)
- Bicriteria piecewise linear program, Dynamic programming, Minimax rule, Portfolio optimization
Citation Format(s)
Multiperiod portfolio selection on a minimax rule. / Yu, Mei; Wang, Shou-Yang; Lai, Kin Keung et al.
In: Dynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms, Vol. 12, No. 4, 08.2005, p. 565-587.
In: Dynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms, Vol. 12, No. 4, 08.2005, p. 565-587.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
