Dynamic portfolio optimization with risk control for absolute deviation model

European Journal of Operational Research

Volumn 201, Issue 2, 2010, Pages 349-364

  Yu, Mei ^a,b   Takahashi, Satoru ^b   Inoue, Hiroshi ^b   Wang, Shouyang ^c  

^a UNIVERSITY OF INTERNATIONAL BUSINESS AND ECONOMICS   (China)

^b TOKYO UNIVERSITY OF SCIENCE   (Japan)

^c INSTITUTE OF SYSTEMS SCIENCE   (China)

Author keywords

Absolute deviation; Dynamic programming; Linear programming; Portfolio optimization

Indexed keywords

ABSOLUTE DEVIATION; ABSOLUTE DEVIATIONS; CLOSED FORM; DYNAMIC PROGRAMMING METHODS; INVESTMENT STRATEGY; MEAN-VARIANCE METHODS; MULTI-PERIOD; NEW MODEL; OPTIMAL STRATEGIES; PORTFOLIO OPTIMIZATION; PORTFOLIO SELECTION; RISK CONTROLS; RISK MEASURES; TERMINAL WEALTH;

FINANCIAL DATA PROCESSING; LINEAR PROGRAMMING; LINEARIZATION; OPTIMIZATION; RISK ASSESSMENT; RISK PERCEPTION; STRATEGIC PLANNING; SYSTEMS ENGINEERING; WIRELESS TELECOMMUNICATION SYSTEMS;

DYNAMIC PROGRAMMING;

EID: 70349290655     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2009.03.009     Document Type: Article

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