Portfolio optimization : a multi-period model with dynamic risk preference and minimum lots of transaction
Yiying Liu, Yongbin Zhou, Juanjuan Niu
| Year of publication: |
2023
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|---|---|
| Authors: | Liu, Yiying ; Zhou, Yongbin ; Niu, Juanjuan |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 55.2023, 2, p. 1-10
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| Subject: | Dynamic trading | Genetic algorithms | Minimum transaction lots | Portfolio optimization | Risk preference | Security returns | Value at risk (VaR) | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Risikopräferenz | Risk attitude | Mathematische Optimierung | Mathematical programming | Kapitaleinkommen | Capital income | Evolutionärer Algorithmus | Evolutionary algorithm | Risiko | Risk | Dynamische Optimierung | Dynamic programming |