Multiperiod mean-absolute deviation credibility portfolio optimization with chance constraint

DOI10.6054/J.JSCNUN.2019050MaRDI QIDQ5209997zbMATH OpenFDO

Authors

Publication date 22 January 2020

zbMATH Keywords

credibility measurechance-constrained programmingmultiperiod portfolio optimizationforward dynamic programming methodmean absolute deviation model

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

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Cited in

(7)

• Credibilitic mean-variance model for multi-period portfolio selection problem with risk control
• Portfolio adjusting optimization with added assets and transaction costs based on credibility measures
• Evaluation of the adjusting mean semi-variance credibilistic portfolio performance
• Credibilistic multi-period portfolio optimization based on scenario tree
• Multiperiod credibilitic mean semi-absolute deviation portfolio selection
• Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection
• Multiperiod mean absolute deviation uncertain portfolio selection with real constraints

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