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Multi-period investment decision problem based on time consistent generalized convex risk measure and extremum scenarios

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Multi-period investment decision problem based on time consistent generalized convex risk measure and extremum scenarios

Yang, Li; Chen, Zhiping; Hu, Qianhui - In: China Finance Review International 4 (2014) 4, pp. 360-384

Purpose – To help investors find an investment policy with strong competitiveness, the purpose of this paper is to construct a multi-period investment decision model with practicality and superior performance. Design/methodology/approach – The paper uses a suitable multi-period risk measure...

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Multi-period risk measures and optimal investment policies

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