Credibilistic multi-period portfolio optimization based on scenario tree

DOI10.1016/J.PHYSA.2017.11.058MaRDI QIDQ2148251zbMATH OpenOpenAlexFDO

Authors Negin Mohebbi, Amir Abbas Najafi

Publication date 23 June 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2017.11.058

zbMATH Keywords

uncertaintyscenario treemulti-period portfoliofuzzy credibility theoryinteractive dynamic programming

Mathematics Subject Classification ID

Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20)

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Cites work

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• Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
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• Worst-case robust decisions for multi-period mean-variance portfolio optimization

Cited in

(4)

• No-arbitrage conditions, scenario trees, and multi-asset financial optimization
• Robust scenario optimization based on downside-risk measure for multi-period portfolio selection
• Multi-period portfolio selection with investor views based on scenario tree
• Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization

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