Modern Portfolio Selection Theory Multi-Period Investment Modelling Handbook
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- Englisch ausgewählt
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Beschreibung
Produktdetails
Einband
Taschenbuch
Erscheinungsdatum
28.02.2011
Verlag
LAP LAMBERT Academic PublishingSeitenzahl
196
Maße (L/B/H)
22/15/1.3 cm
Gewicht
310 g
Auflage
1. Auflage
Sprache
Englisch
ISBN
978-3-8443-1415-1
Portfolio selection is an important research topic in the field of finance, but typically, existing portfolio models cover a single investment period and are static, while real-world investors operate dynamically over multiple periods. So multi-period portfolio selection models have been studied widely in recent years. This book mainly discusses the efficient frontier of the mean-VaR model for multi-period portfolio selection, and the algorithm and model for multi-period portfolio selection including uncertainty. Its main contents are as follows: firstly, effective solutions are given for the mean-VaR model for multi-period portfolio selection, and the efficient frontier problem is discussed. We then introduce credibility safety standards-based multi-period portfolio selection and fuzzy entropy-based multi-period portfolio selection models. We also present an empirical study for the two types of model.
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