Multiperiod mean-CVaR portfolio selection
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Publication:5356993
DOI10.1007/978-3-319-18161-5_25zbMATH Open1371.91153OpenAlexW2294343279MaRDI QIDQ5356993FDOQ5356993
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
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linear programminginteger programmingmean-CVaRtime consistent policytime consistency in efficiencypre-committed policy
Cites Work
- Coherent measures of risk
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Mean-variance portfolio optimization with state-dependent risk aversion
- Coherent multiperiod risk adjusted values and Bellman's principle
- Time consistent dynamic risk measures
- Better than dynamic mean-variance: time inconsistency and free cash flow stream
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
Cited In (14)
- Multiperiod mean-standard-deviation time consistent portfolio selection
- Bayesian filtering for multi-period mean-variance portfolio selection
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- A class of multi-period semi-variance portfolio selection with a four-factor futures price model
- Title not available (Why is that?)
- Mean-variance-CVaR model of multiportfolio optimization via linear weighted sum method
- Multiperiod mean absolute deviation uncertain portfolio selection with real constraints
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?
- Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection
- Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
- Credibilitic mean-variance model for multi-period portfolio selection problem with risk control
- Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection
- Multi-period portfolio optimization: translation of autocorrelation risk to excess variance
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