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Portfolio selection is an important research topic in the field of finance, but typically, existing portfolio models cover a single investment period and are static, while real-world investors operate dynamically over multiple periods. So multi-period portfolio selection models have been studied widely in recent years. This book mainly discusses the efficient frontier of the mean-VaR model for multi-period portfolio selection, and the algorithm and model for multi-period portfolio selection including uncertainty. Its main contents are as follows: firstly, effective solutions are given for the mean-VaR model for multi-period portfolio selection, and the efficient frontier problem is discussed. We then introduce credibility safety standards-based multi-period portfolio selection and fuzzy entropy-based multi-period portfolio selection models. We also present an empirical study for the two types of model.
| Autorius: | Fang Liu, Bill Peters, |
| Leidėjas: | LAP LAMBERT Academic Publishing |
| Išleidimo metai: | 2011 |
| Knygos puslapių skaičius: | 196 |
| ISBN-10: | 3844314156 |
| ISBN-13: | 9783844314151 |
| Formatas: | 220 x 150 x 12 mm. Knyga minkštu viršeliu |
| Kalba: | Anglų |
Parašykite atsiliepimą apie „Modern Portfolio Selection Theory: Multi-Period Investment Modelling Handbook“
