Portfolio management has long been one of the most significant challenges in large-and
small-scale investments alike. The primary objective of portfolio management is to make …

Motivated by the asymmetrical attitudes of investors towards downside losses and upside
gains, this paper proposes a robust multi-period portfolio selection model based on …

This paper develops a minimax model for a multi-period portfolio selection problem. An
analytical solution is obtained and numerical simulations demonstrate the superiority of the …

Portfolio optimization problems are easy to address if single linear objective functions are
considered, with the assumption of normality of asset returns distributions, subject to …

Risk analysis is crucial in real asset investment projects. However, existing risk measures
like VaR (value at risk) and CVaR (conditional value at risk) may not fully capture potential …

Portfolio optimization problems are rather easy to solve if one assumes normality of the
(joint) distribution of returns with given parameters and a linear objective function, subject to …

The electricity sellers undertake the obligation of Renewable Portfolio Standard. In this
paper, the electricity purchasing decision model is established based on conditional value …

Risk measurement plays an important role in fields of finance and insurance. In this paper,
extreme value theory is used to construct a new risk measurement model. The underlying …