Modeling and solving portfolio selection problems based on PVaR

Yanli Huo, Chunhui Xu, Takayuki Shiina

Research output: Contribution to journalArticlepeer-review

Abstract

Portfolio optimization with an uncertain investment horizon and a Period Value at Risk criterion is difficult.

Original languageEnglish
Pages (from-to)1889-1898
Number of pages10
JournalQuantitative Finance
Volume20
Issue number12
DOIs
Publication statusPublished - 2020 Dec

ASJC Scopus subject areas

  • Finance
  • Economics, Econometrics and Finance(all)

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