scholarly journals Multi-period Mean-dynamic VaR Optimal Portfolio Selection: Model and Algorithm

2015 ◽  
Vol 7 (1) ◽  
pp. 366-369
Author(s):  
Xing Yu
Keyword(s):  
Portfolio Selection ◽  
Selection Model ◽  
Optimal Portfolio ◽  
Optimal Portfolio Selection ◽  
Portfolio Selection Model

scholarly journals The Optimal Portfolio Selection Model underg-Expectation

2014 ◽  
Vol 2014 ◽  
pp. 1-12 ◽  
Author(s):  
Li Li
Keyword(s):  
Prospect Theory ◽  
Decision Rule ◽  
Portfolio Selection ◽  
Continuous Time ◽  
Optimal Solution ◽  
Selection Model ◽  
Optimal Portfolio ◽  
Optimal Portfolio Selection ◽  
Choquet Expectation ◽  
Portfolio Selection Model

This paper solves the optimal portfolio selection model under the framework of the prospect theory proposed by Kahneman and Tversky in the 1970s with decision rule replaced by theg-expectation introduced by Peng. This model was established in the general continuous time setting and firstly adopted theg-expectation to replace Choquet expectation adopted in the work of Jin and Zhou, 2008. Using different S-shaped utility functions andg-functions to represent the investors' different uncertainty attitudes towards losses and gains makes the model not only more realistic but also more difficult to deal with. Although the models are mathematically complicated and sophisticated, the optimal solution turns out to be surprisingly simple, the payoff of a portfolio of two binary claims. Also I give the economic meaning of my model and the comparison with that one in the work of Jin and Zhou, 2008.

scholarly journals An Efficient Portfolio with Several Objectives and Varying Parameters

2018 ◽  
Vol 3 (4) ◽  
pp. 335-350 ◽  
Author(s):  
Mrinal Jana ◽  
Geetanjali Panda ◽  
Neelesh Agrawal
Keyword(s):  
Portfolio Selection ◽  
Stock Exchange ◽  
Selection Model ◽  
Optimal Portfolio ◽  
Objective Functions ◽  
Market Data ◽  
Varying Parameters ◽  
Portfolio Selection Model ◽  
Portfolio Return

We investigate a portfolio selection model with several objective functions, whose coefficients are uncertain and vary between some bounds. A preferable efficient portfolio of the model is obtained, which provides the range within which the portfolio return and the moments would vary. An optimal portfolio for the forecasted returns of stocks is found with actual market data from the Bombay Stock Exchange, India.

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