Modern Portfolio Selection Theory

Modern Portfolio Selection Theory

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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.
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Product details

  • Paperback | 196 pages
  • 152 x 229 x 11mm | 295g
  • Germany
  • English
  • black & white illustrations
  • 3844314156
  • 9783844314151

About Dr Bill Peters

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