Ying Yuan

Northeastern University, China - School of Business Administration

Shenyang, 110004

China

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Robust Multi-Period Portfolio Model Based on Prospect Theory and ALMV-PSO Algorithm

Number of pages: 35 Posted: 20 Apr 2015
Jiahe Liu, Xiu Jin, Tianyang Wang and Ying Yuan
Northeastern University, China - School of Business Administration, Northeastern University, China - School of Business Administration, Colorado State University - Department of Finance & Real Estate and Northeastern University, China - School of Business Administration
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Abstract:

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Finance; Portfolio selection; Prospect theory; Robust optimization; Multi- period portfolio; Particle swarm optimization