Add to ORKGAbstract: This paper proposes the mean-dynamic VaR multi-period portfolio selection model with the transaction costs and the constraints on trade volumes. The Bat algorithm is applied to solve the multi-period mean-dynamic VaR model. Numerical results show that the Bat algorithm is effective and feasible to solve multi-period portfolio selection problems
In this thesis, we focus our study on the multi-period portfolio selection problems with different i...
Big data is being generated by everything around us at all times. The massive amount and correspondi...
We study a multi-period mean-variance portfolio selection problem with an uncertain time horizon and...
Portfolio selection has always been one of the important issues in the field of investment managemen...
The mean-variance formulation by Markowitz for modern optimal portfolio selection has been analyzed ...
Portfolio selection problem is one of the core research fields in modern financial management. While...
When a dynamic optimization problem is not decomposable by a stage-wise backward recursion, it is no...
This paper addresses a method to solve a multi-period portfolio selection on the stock market. The p...
Multi-period models of portfolio selection have been developed in the literature with respect to cer...
We propose a dynamic portfolio selection model that maximizes expected returns subject to a Value-at...
The complexity of financial markets leads to different types of indeterminate asset returns. For exa...
This research proposes two new models, Recent Period Importance Model and w-Value Model, for portfol...
A portfolio selection model which allocates a portfolio of currencies by maximizing the expected ret...
In this paper, we study a multiperiod mean-variance portfolio optimization problem in the presence o...
In this paper, we study a multiperiod mean-variance portfolio optimization problem in the presence o...
In this thesis, we focus our study on the multi-period portfolio selection problems with different i...
Big data is being generated by everything around us at all times. The massive amount and correspondi...
We study a multi-period mean-variance portfolio selection problem with an uncertain time horizon and...
Portfolio selection has always been one of the important issues in the field of investment managemen...
The mean-variance formulation by Markowitz for modern optimal portfolio selection has been analyzed ...
Portfolio selection problem is one of the core research fields in modern financial management. While...
When a dynamic optimization problem is not decomposable by a stage-wise backward recursion, it is no...
This paper addresses a method to solve a multi-period portfolio selection on the stock market. The p...
Multi-period models of portfolio selection have been developed in the literature with respect to cer...
We propose a dynamic portfolio selection model that maximizes expected returns subject to a Value-at...
The complexity of financial markets leads to different types of indeterminate asset returns. For exa...
This research proposes two new models, Recent Period Importance Model and w-Value Model, for portfol...
A portfolio selection model which allocates a portfolio of currencies by maximizing the expected ret...
In this paper, we study a multiperiod mean-variance portfolio optimization problem in the presence o...
In this paper, we study a multiperiod mean-variance portfolio optimization problem in the presence o...
In this thesis, we focus our study on the multi-period portfolio selection problems with different i...
Big data is being generated by everything around us at all times. The massive amount and correspondi...
We study a multi-period mean-variance portfolio selection problem with an uncertain time horizon and...