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Modeling and solving portfolio selection problems based on PVaR

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  • Yanli Huo
  • Chunhui Xu
  • Takayuki Shiina

Abstract

Portfolio optimization with an uncertain investment horizon and a Period Value at Risk criterion is difficult

Suggested Citation

  • Yanli Huo & Chunhui Xu & Takayuki Shiina, 2020. "Modeling and solving portfolio selection problems based on PVaR," Quantitative Finance, Taylor & Francis Journals, vol. 20(12), pages 1889-1898, December.
    • Handle: RePEc:taf:quantf:v:20:y:2020:i:12:p:1889-1898
    DOI: 10.1080/14697688.2020.1819552
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    Cited by:

    1. Nupur Moni Das & Bhabani Sankar Rout & Yashmin Khatun, 2023. "Does G7 Engross the Shock of COVID 19: An Assessment with Market Volatility?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(4), pages 795-816, December.

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