TY - JOUR
T1 - Modeling and solving portfolio selection problems based on PVaR
AU - Huo, Yanli
AU - Xu, Chunhui
AU - Shiina, Takayuki
N1 - Funding Information:
The authors acknowledge the Zhejiang Provincial Natural Science Foundation of China [grant number LQ18G010004] Project title: Research on risk measuring and investment decision methods for flexible investments, the Qianjiang Talent Plan of Zhejiang Province of China [grant number QJC1502008] Project title: Research on Financial Risk Management Methods under Uncertain Investment Time, and the Scientific Research Grant of Japan Society for the Promotion of Science [grant number 19K01757] Project title: Research on portfolio selection problems incorporating investment time uncertainty, for their financial support. They authors wish to thank the two anonymous reviewers for their valuable comments.
© 2020 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2020/12
Y1 - 2020/12
N2 - Portfolio optimization with an uncertain investment horizon and a Period Value at Risk criterion is difficult.
AB - Portfolio optimization with an uncertain investment horizon and a Period Value at Risk criterion is difficult.
UR - http://www.scopus.com/inward/record.url?scp=85092376219&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85092376219&partnerID=8YFLogxK
U2 - 10.1080/14697688.2020.1819552
DO - 10.1080/14697688.2020.1819552
M3 - Article
AN - SCOPUS:85092376219
SN - 1469-7688
VL - 20
SP - 1889
EP - 1898
JO - Quantitative Finance
JF - Quantitative Finance
IS - 12