Name
Title | ||
|---|---|---|
Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection |
Abstract | ||
|---|---|---|
•Derive the time-consistent strategy for multi-period mean-conditional Value-at-Risk model.•Show that the coefficients of the strategy are determined by mixed integer programming problems.•Propose the self-coordination strategy for multi-period mean-conditional Value-at-Risk model.•Show that the proposed strategy is determined by a convex quadratic programming.•Extend the main finding to a regime-switching market setting. |
Year | DOI | Venue |
|---|---|---|
2019 | 10.1016/j.ejor.2019.01.045 | European Journal of Operational Research |
Keywords | Field | DocType |
Investment analysis,Conditional Value-at-Risk,Multi-period mean-CVaR portfolio selection,Time-consistent strategy,Self-coordination strategy | Decision problem,Mathematical optimization,Time point,Portfolio,Decision model,Piecewise linear function,Dynamic inconsistency,Mathematics,Expected shortfall,CVAR | Journal |
Volume | Issue | ISSN |
276 | 2 | 0377-2217 |
Citations | PageRank | References |
2 | 0.38 | 0 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Xiangyu Cui | 1 | 10 | 4.06 |
| Jianjun Gao | 2 | 51 | 11.33 |
| Yun Shi | 3 | 47 | 8.70 |
| Shushang Zhu | 4 | 244 | 13.07 |