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Investigation of Multistage Stochastic Portfolio Optimization Problems

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Abstract

Multistage stochastic portfolio optimization problems are investigated with the use of Kusuoki’s and spectral coherent risk measures. To evaluate the performance of models, a backtesting process is developed using initial (historical) data. A proportionate share of portfolio assets at different time stages is found for models with Kusuoki’s and spectral coherent risk measures. Multistage stochastic portfolio optimization models are measured by testing in terms of the value of a portfolio. Minimum portfolio losses are calculated for different time stages.

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Authors and Affiliations

  1. Taras Shevchenko National University of Kyiv, Kyiv, Ukraine

    O. A. Galkina

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  1. O. A. Galkina
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Correspondence to O. A. Galkina.

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Translated from Kibernetika i Sistemnyi Analiz, No. 6, November–December, 2016, pp. 30–39.

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Galkina, O.A. Investigation of Multistage Stochastic Portfolio Optimization Problems. Cybern Syst Anal 52, 857–866 (2016). https://doi.org/10.1007/s10559-016-9887-1

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  • DOI: https://doi.org/10.1007/s10559-016-9887-1

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