A Proposal of Multi-period Mean-variance Portfolio Selection Model with Uncertain Returns
نویسنده
چکیده
Multi-period portfolio selection problem attracts more and more attentions because it is in accordance with the practical investment decision-making problem. However, the existing literature on this field is almost undertaken by regarding security returns as random variables in the framework of probability theory. Different from these works, we assume that security returns are uncertain variables which may be given by the experts, and then establish several different forms of multi-period mean-variance portfolio selection model with uncertain returns.
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