Multi-period Mean-dynamic VaR Optimal Portfolio Selection: Model and Algorithm
نویسنده
چکیده
This paper proposes the mean-dynamic VaR multi-period portfolio selection model with the transaction costs and the constraints on trade volumes. The Bat algorithm is applied to solve the multi-period mean-dynamic VaR model. Numerical results show that the Bat algorithm is effective and feasible to solve multi-period portfolio selection problems.
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