Optimizing multi-period portfolio decision model with mean-VaR risk control
Rui Li · Journal of Qinghai University · 2011
Optimal portfolio decision-making with mean-VaR risk was considered in this paper.Multi-period and portfolio decision model were established with the risk-free assets and transaction costs.The solutions of the model were derived by numerical simulation of genetic algorithm,and a comparative analysis with the single-period portfolio decision model was conducted.The results show that the multi-period portfolio decision model improves the single-period portfolio decision model with mean-VaR risk control.