A multi-period return-risk measure portfolio optimization problem incorporating risk strategies

This paper proposes a stochastic program for the portfolio optimization problem over multiple periods. In addition to expected returns, the model considers various risk strategies for an investor, including short-term and long-term risk controls. The model could serve as a tool to quantify the impact of different risk control strategies and allow the investor to limit her risk-aversion periodically or for the whole investment horizon. Experiments are conducted to numerically show how the model could be used and to investigate the impact of different risk control strategies.