Zobrazeno 1 - 2
of 2
pro vyhledávání: '"Rezvan Kamali"'
Publikováno v:
پژوهشهای ریاضی, Vol 8, Iss 4, Pp 180-197 (2022)
In this paper, we solve the multi-period portfolio optimization problem under new assumptions. Recently, the authors examined some distributions instead of Gaussian to fit returns to improve the optimization problem and indicated, by Kolmogorov-Smirn
Externí odkaz:
https://doaj.org/article/5614cf108302455796874607551509fe
Publikováno v:
Finance Research Letters. 30:44-50
In this paper, we use a multi-periodic portfolio selection algorithm to maximum the investor wealth using probabilistic risk measure. We use ASX100 stock data from 2015 to 2017 with 36 periods, 100 stocks and 725 days. Then we examine and use T-stude
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::11f4f738ed10e218a40923423a214e74
https://doi.org/10.1016/j.frl.2019.03.027
https://doi.org/10.1016/j.frl.2019.03.027