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Abstract
Portfolio optimization with an uncertain investment horizon and a Period Value at Risk criterion is difficult
Acknowledgments
They authors wish to thank the two anonymous reviewers for their valuable comments.
Disclosure statement
No potential conflict of interest was reported by the authors.
Additional information
Funding
The authors acknowledge the Zhejiang Provincial Natural Science Foundation of China [grant number LQ18G010004] Project title: Research on risk measuring and investment decision methods for flexible investments, the Qianjiang Talent Plan of Zhejiang Province of China [grant number QJC1502008] Project title: Research on Financial Risk Management Methods under Uncertain Investment Time, and the Scientific Research Grant of Japan Society for the Promotion of Science [grant number 19K01757] Project title: Research on portfolio selection problems incorporating investment time uncertainty, for their financial support.