Performance of Different Risk Indicators in a Multi-Period Polynomial Portfolio Selection Problem Based on the Credibility Measure
In this paper, we study the portfolio selection problem considering transaction costs under multiple periods. For non-professional investors, it is a critical factor to choose an appropriate model among multiple portfolio selection models in investment. Based on the credibility measure, we formulate...
| Main Authors: | , , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-05-01
|
| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/21/5/491 |