Multi-period portfolio selection with investor views based on scenario tree

DOI10.1016/j.amc.2021.126813OpenAlexW3216275754MaRDI QIDQ2073082

Lin Bai, Yong Fang, Daping Zhao, Shou-Yang Wang

Publication date: 27 January 2022

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2021.126813

zbMATH Keywords

optimizationscenario treeportfolio selectionmulti-periodinvestor views

Mathematics Subject Classification ID

Mathematical programming (90Cxx) Mathematical economics (91Bxx) Actuarial science and mathematical finance (91Gxx)

Related Items (1)

Multi-period power utility optimization under stock return predictability

Cites Work

• Generating Scenario Trees for Multistage Decision Problems
• Robust optimization and portfolio selection: the cost of robustness
• The dynamic Black-Litterman approach to asset allocation
• A heuristic for moment-matching scenario generation
• A closed-form solution of the Black-Litterman model with conditional value at risk
• Portfolio rebalancing model with transaction costs based on fuzzy decision theory
• 60 years of portfolio optimization: practical challenges and current trends
• Robust portfolios that do not tilt factor exposure
• A Generalized Black–Litterman Model
• Stability analysis of portfolio management with conditional value-at-risk
• Scenarios for multistage stochastic programs

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