A new methodology for multi-period portfolio selection based on the risk measure of lower partial moments

作者：

Highlights：

• A contribution in the field of multi-period portfolio optimization.

• Development of a new model as well as application of an appropriate solving method.

• Application of concepts like Skewness, Sharp Ratio, and Treyner Ratio in the new model.

• Application of NSGAII in the solving method.

摘要

•A contribution in the field of multi-period portfolio optimization.•Development of a new model as well as application of an appropriate solving method.•Application of concepts like Skewness, Sharp Ratio, and Treyner Ratio in the new model.•Application of NSGAII in the solving method.

论文关键词：Finance,Multi-period planning,Lower partial moment measure,Portfolio-driven method

论文评审过程：Received 21 March 2019, Revised 22 September 2019, Accepted 15 October 2019, Available online 16 October 2019, Version of Record 25 November 2019.

论文官网地址：https://doi.org/10.1016/j.eswa.2019.113032