The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion

DOI10.1016/j.ejor.2018.08.026zbMath1403.91323arXiv2108.02633OpenAlexW2888144376MaRDI QIDQ1622826

Pavel V. Shevchenko, Wei Wu, Spiridon I. Penev

Publication date: 19 November 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.02633

zbMATH Keywords

multivariate statisticsKullback-Leibler divergencemean-standard-deviationpseudo dynamic programmingrobust portfolio allocation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Dynamic programming (90C39) Portfolio theory (91G10)

Related Items (4)

An analysis of dollar cost averaging and market timing investment strategies ⋮ First passage times in portfolio optimization: a novel nonparametric approach ⋮ Portfolio selection: a target-distribution approach ⋮ Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach

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