An investor does not always invest in risky assets in all time periods, often due to the management fee charged for hiring an agent in managing his investment in risky assets. Motivated by this observed common phenomenon, this paper considers the time cardinality constrained mean-variance...

We examine how the evidence of mean-reversion in stock returns affects dynamic trading behavior for investors with prospect-theory preferences. Particular attention is paid to the trading incentives created by the interaction between prospect-theory preferences and mean-reverting return...

Investment could be costly for several reasons. The most significant contributor, undoubtedly, goes to bad market timing. Investors thus have to consider market timing strategies, i.e., to strategically shift the funds completely between risky and risk free assets after analyzing market...

In the existing literature, the value-at-risk (VaR) is one of the most representative downside risk measures due to its wide spectra of applications in practice. In this paper, we investigate the dynamic mean-VaR portfolio selection formulation, while the state-of-the-art has only witnessed...

Different risk measures emphasize different aspects of a random loss. If we examine the investment performance according to different spectra of the risk measures, any policy generated from a mean-risk portfolio model with a sole risk measure may not be a good choice. We study in this paper the...

We propose in this paper a fixed parameter polynomial algorithm for the cardinality-constrained quadratic optimization problem, which is NP-hard in general. More specifically, we prove that, given a problem of size n (the number of decision variables) and s (the cardinality), if the n−k...