Bayesian filtering for multi-period mean-variance portfolio selection (Q2241542): Difference between revisions

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+Autocorrelated Returns and Optimal Intertemporal Portfolio Choice
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+Bayesian inference of the multi-period optimal portfolio for an exponential utility
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+Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
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+Optimal investment decisions when time-horizon is uncertain
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+Bayesian estimation of the global minimum variance portfolio
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+Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
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+Mean-variance portfolio selection with correlation risk
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+Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
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+Multi-Period Mean-Variance Portfolio Optimization With High-Order Coupled Asset Dynamics
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+Portfolio selection under distributional uncertainty: a relative robust CVaR approach
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+Bayesian emulation for multi-step optimization in decision problems
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+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
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+Analysis and Synthesis of State-Feedback Controllers With Timing Jitter
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+Bayesian forecasting and dynamic models
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+Multi-period portfolio selection for asset-liability management with uncertain investment horizon
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+Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated
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+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
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