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Survey on Multi-period Mean-Variance Portfolio Selection Model
《Journal of the Operations Research Society of China》2022年第3期599-622,共24页Xiang-Yu Cui Jian-Jun Gao Xun Li Yun Shi 
partially supported by the National Natural Science Foundation of China(Nos.71971132,61573244,71671106,71971083 and 72171138);by the Key Program of National Natural Science Foundation of China(No.71931004);by Shanghai Institute of International Finance and Economics;by Program for Innovative Research Team of Shanghai University of Finance and Economics;by the Open Research Fund of Key Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE.
Due to the non-separability of the variance term,the dynamic mean-variance(MV)portfolio optimization problem is inherently difficult to solve by dynamic programming.Li and Ng(Math Finance 10(3):387-406,2000)and Zhou a...
关键词：Multi-period mean-variance Investment constraints Time inconsistency 
Time Consistent Multi-period Worst-Case Risk Measure in Robust Portfolio Selection被引量：1
《Journal of the Operations Research Society of China》2018年第1期139-158,共20页aJia Liu Zhi-Ping Chen Yong-Chang Hui 
This research was supported by the National Natural Science Foundation of China(Nos.71371152 and 11571270).
In this paper,we first construct a time consistent multi-period worst-case risk measure,which measures the dynamic investment risk period-wise from a distributionally robust perspective.Under the usually adopted uncer...
关键词：Distributionally robust optimization Multi-period risk measure Dynamic portfolio selection Conditional value-at-risk 
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