Modern Portfolio Selection Theory

Modern Portfolio Selection Theory

Multi-Period Investment Modelling Handbook

LAP Lambert Academic Publishing ( 28.02.2011 )

€ 68,00

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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.

Детали книги:

ISBN-13:

978-3-8443-1415-1

ISBN-10:

3844314156

EAN:

9783844314151

Язык книги:

English

By (author) :

Fang Liu
Bill Peters

Количество страниц:

196

Опубликовано:

28.02.2011

Категория:

Мировая экономика