The optimal dynamic robust portfolio model
COMPUTER MODELLING & NEW TECHNOLOGIES 2014 18(4) 154-157
Department of Mathematics & Applied Mathematics, Hunan University of humanities, science and technology, Loudi, 417000, P.R. China
This paper is concerned with the optimal dynamic multi-stage portfolio of mean- dynamic var based on high frequency exchange data with the constraint of transaction costs transaction volume. The proposed solution approach is based on robust optimization, which allows us to obtain a worst best but exact and explicit problem formulation in terms of a convex quadratic program. In contrast to the mainstream stochastic programming approach to multi-period optimization, which has the drawback of being computationally intractable, the proposed setup leads to optimization problems that can be solved efficiently.