The Open Automation and Control Systems Journal

2015, 7 : 366-369
Published online 2015 May 15. DOI: 10.2174/1874444301507010366
Publisher ID: TOAUTOCJ-7-366

Multi-period Mean-dynamic VaR Optimal Portfolio Selection: Model and Algorithm

Xing Yu
Department of Mathematics & Applied Mathematics, Hunan University of humanities, science and technology, Loudi, 417000, P.R. China.

ABSTRACT

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.

Keywords:

Bat algorithm, efficient frontiers, mean-dynamic VaR, multi-period selection.