Multiperiod mean-CVaR portfolio selection

DOI10.1007/978-3-319-18161-5_25MaRDI QIDQ5356993zbMATHOpenAlexFDO

Authors Xiangyu Cui, Y. Shi

Publication date 12 September 2017

Published in Advances in Intelligent Systems and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-18161-5_25

zbMATH Keywords

linear programminginteger programmingmean-CVaRtime consistent policytime consistency in efficiencypre-committed policy

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10) Integer programming (90C10)

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Cites work

• A theory of Markovian time-inconsistent stochastic control in discrete time
• Better than dynamic mean-variance: time inconsistency and free cash flow stream
• Coherent measures of risk
• Coherent multiperiod risk adjusted values and Bellman's principle
• Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
• Mean-variance portfolio optimization with state-dependent risk aversion
• Time consistent dynamic risk measures

Cited in

(15)

• Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Credibilitic mean-variance model for multi-period portfolio selection problem with risk control
• Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
• A class of multi-period semi-variance portfolio selection with a four-factor futures price model
• Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
• scientific article; zbMATH DE number 2219397 (Why is no real title available?)
• Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection
• Mean-variance-CVaR model of multiportfolio optimization via linear weighted sum method
• Multi-period portfolio optimization: translation of autocorrelation risk to excess variance
• Bayesian filtering for multi-period mean-variance portfolio selection
• Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection
• Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent?
• Multiperiod mean-standard-deviation time consistent portfolio selection
• Multiperiod mean absolute deviation uncertain portfolio selection with real constraints

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