MULTISTAGE PORTFOLIO OPTIMIZATION WITH VAR AS RISK MEASURE

Multistage portfolio optimization models are difficult to solve when market risk is measured by Value-at-Risk (VaR), this paper proposes a soft method for solving VaR-based portfolio optimization models based on a soft optimization approach. In order to demonstrate the validity of the proposed soft method, we perform portfolio management experiments with real data from the New York stock market, and compare the performances of the strategies suggested by the soft method with those of two other investment strategies.