Modern Portfolio Selection Theory - Liu, Fang;Peters, Bill
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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…mehr

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Produktbeschreibung
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.
Autorenporträt
2009-2011 PhD in Management research from Brunel University (UK);2007-2008 MSc in Accounting and Finance from Napier University(UK);2003-2007 BA in Computing and Mathematics from Huai Hai Institute of Technology (China).