DYNAMIC PORTFOLIO SELECTION WITH UNCERTAINTY

被引：2
|
作者：
Yu, Mei [1 ]
Inoue, Hiroshi [2 ]
Takahashi, Satoru [2 ]
Shi, Jianming [3 ]
机构：
[1] Univ Int Business & Econ, Sch Finance & Banking, Beijing 100029, Peoples R China
[2] Tokyo Univ Sci, Sch Management, Kuki, Saitama 3468512, Japan
[3] Muroran Inst Technol, Dept Comp Sci & Syst Engn, Muroran, Hokkaido 0508585, Japan
来源：
INTERNATIONAL JOURNAL OF UNCERTAINTY FUZZINESS AND KNOWLEDGE-BASED SYSTEMS | 2009年 / 17卷 / 02期
关键词：
Portfolio optimization; uncertainty; dynamic programming; MINIMAX RULE; OPTIMIZATION; MODEL;
D O I：
10.1142/S0218488509005838
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
How to make a prompt decision for uncertainty investment is always a key problem in financial market. In this paper, we present a new dynamic portfolio selection strategy in stock market. The investor is assumed to seek an investment strategy that will maximize his/her final wealth and minimize the total risk. An analytically optimal strategy in closed form is obtained by solving a dynamic programming problem. Some applications are also presented to illustrate this model.
引用
收藏
页码：237 / 250
页数：14
相关论文
共 50 条
  • [1] Dynamic robust portfolio selection with copulas
    Han, Yingwei
    Li, Ping
    Xia, Yong
    FINANCE RESEARCH LETTERS, 2017, 21 : 190 - 200
  • [2] Dynamic portfolio optimization with the MARCOS approach under uncertainty
    Yu, Pengrui
    Ge, Zhipeng
    Gong, Xiaomin
    Cao, Xiao
    INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2024, 96
  • [3] Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix
    Kourtis, Apostolos
    Dotsis, George
    Markellos, Raphael N.
    JOURNAL OF BANKING & FINANCE, 2012, 36 (09) : 2522 - 2531
  • [4] Intradaily dynamic portfolio selection
    Bauwens, Luc
    Ben Omrane, Walid
    Rengifo, Erick
    COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2010, 54 (11) : 2400 - 2418
  • [5] Robust portfolio selection under norm uncertainty
    Wang, Lei
    Cheng, Xi
    JOURNAL OF INEQUALITIES AND APPLICATIONS, 2016,
  • [6] A DYNAMIC PORTFOLIO OPTIMIZATION FRAMEWORK WITH DISTINCTION BETWEEN "RISK" AND "UNCERTAINTY"
    Talpos, Ioan
    Pirtea, Marilen
    Dima, Bogdan
    ANNALS OF DAAAM FOR 2008 & PROCEEDINGS OF THE 19TH INTERNATIONAL DAAAM SYMPOSIUM, 2008, : 1349 - 1350
  • [7] Project portfolio selection and scheduling incorporating dynamic synergy
    Bai, Libiao
    Yang, Mengqin
    Pan, Tong
    Sun, Yichen
    KYBERNETES, 2025, 54 (02) : 996 - 1026
  • [8] Robust portfolio selection with subjective risk aversion under dependence uncertainty
    Su, Xiaoshan
    Li, Yuhan
    ECONOMIC MODELLING, 2024, 132
  • [9] Project portfolio selection and scheduling problem under material supply uncertainty
    Habibi, Farhad
    Chakrabortty, Ripon Kumar
    Servranckx, Tom
    Abbasi, Alireza
    Vanhoucke, Mario
    OPERATIONS MANAGEMENT RESEARCH, 2024,
  • [10] Energy sector portfolio analysis with uncertainty
    Milford, James
    Henrion, Max
    Hunter, Chad
    Newes, Emily
    Hughes, Caroline
    Baldwin, Samuel F.
    APPLIED ENERGY, 2022, 306
12345