Multi-period Portfolio Problem Research Articles

Credibilistic multi-period portfolio optimization based on scenario tree

In this paper, we consider a multi-period fuzzy portfolio optimization model with considering transaction costs and the possibility of risk-free investment. We formulate a bi-objective mean-VaR portfolio selection model based on the integration of fuzzy credibility theory and scenario tree in order to dealing with the markets uncertainty. The scenario tree is also a proper method for modeling multi-period portfolio problems since the length and continuity of their horizon. We take the return and risk as well cardinality, threshold, class, and liquidity constraints into consideration for further compliance of the model with reality. Then, an interactive dynamic programming method, which is based on a two-phase fuzzy interactive approach, is employed to solve the proposed model. In order to verify the proposed model, we present an empirical application in NYSE under different circumstances. The results show that the consideration of data uncertainty and other real-world assumptions lead to more practical and efficient solutions.

A new approach to robust modeling of the multi- period portfolio problem

In this paper, we developed a new robust model of multi-period portfolio problem. One of the key concerns in any asset allocation problem is how to cope with uncertainty about future returns. There are some approaches in the literature for this purpose including stochastic programming and robust optimization. Applying these techniques to multi-period portfolio problem may increase the problem size in a way that the resulting model is intractable. In this paper, we proposed a novel approach to formulate multi-period portfolio problem as an uncertain linear program assuming that asset return follows the single-index factor model. We also used robust optimization technique to solve the resulted problem. In order to evaluate the performance of the proposed model, we applied a numerical example using simulated data. Key words: Robust optimization, multi-period portfolio problem, asset pricing model, parameter uncertainty.

Solving a linear multiperiod portfolio problem by interior-point methodology

In this report we formulate a linear multiperiod programming problem and show how it can be solved by a new interior point algorithm. The conditions of convergence and applicability of the algorithm of centers are explicitly connected to the multiperiod programming problem. For the former, effective application is supported by a set of simplifying conditions stated and proved in the text. For the latter, boundedness and nontriviality under real world conditions is demonstrated, allowing for its solution by the interior point algorithm. The use of a fast interior point algorithm is motivated by some empirical evidence from a Revised Simplex optimizer.

Female Revolt: Women's Movements in World and Historical Perspective.

Based on courses developed by the author over several years, this book provides access to a broad area of research that is not available in separate articles or books of readings. Topics covered include the meaning and measurement of risk, general single-period portfolio problems, mean-variance analysis and the Capital Asset Pricing Model, the Arbitrage Pricing Theory, complete markets, multiperiod portfolio problems and the Intertemporal Capital Asset Pricing Model, the Black-Scholes option pricing model and contingent claims analysis, 'risk-neutral' pricing with Martingales, Modigliani-Miller and the capital structure of the firm, interest rates and the term structure, and others.

Theory of Financial Decision Making.

Based on courses developed by the author over several years, this book provides access to a broad area of research that is not available in separate articles or books of readings. Topics covered include the meaning and measurement of risk, general single-period portfolio problems, mean-variance analysis and the Capital Asset Pricing Model, the Arbitrage Pricing Theory, complete markets, multiperiod portfolio problems and the Intertemporal Capital Asset Pricing Model, the Black-Scholes option pricing model and contingent claims analysis, 'risk-neutral' pricing with Martingales, Modigliani-Miller and the capital structure of the firm, interest rates and the term structure, and others.