Multiperiod mean-variance portfolio optimization via market cloning (Q647502): Difference between revisions
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| Property / cites work: Nonlinear Diffusion Governed by McKean–Vlasov Equation on Hilbert Space and Optimal Control / rank | |||
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| Property / cites work: A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization / rank | |||
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| Property / cites work: Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation / rank | |||
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| Property / cites work: Stochastic optimal control. The discrete time case / rank | |||
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Revision as of 15:56, 4 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multiperiod mean-variance portfolio optimization via market cloning |
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Multiperiod mean-variance portfolio optimization via market cloning (English)
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23 November 2011
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dynamic programming
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mean variance optimization
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optimal portfolios
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market clones
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independent returns
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empirical mean
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