Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint
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DOI: 10.1016/j.apm.2017.12.016
Abstract: Abstract The complexity of financial markets leads to different types of indeterminate asset returns. For example, asset returns are considered as random variables, when the available data is enough. When the available data is too… read more here.
Keywords: multi period; portfolio selection; period portfolio; selection problem ... See more keywords
Multi-period portfolio with a dynamic reference point considering disappointment feelings
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DOI: 10.1080/01605682.2021.1892463
Abstract: Reference dependence, disappointment feelings and risk aversion are three important behavioural characteristics; the main concern of this paper is their influence (especially that of reference depe... read more here.
Keywords: multi period; reference; portfolio dynamic; period portfolio ... See more keywords