Markowitz principles for multi-period portfolio selection problems with moments of any order (Q5454654)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Markowitz principles for multi-period portfolio selection problems with moments of any order |
scientific article; zbMATH DE number 5256289
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Markowitz principles for multi-period portfolio selection problems with moments of any order |
scientific article; zbMATH DE number 5256289 |
Statements
Markowitz principles for multi-period portfolio selection problems with moments of any order (English)
0 references
31 March 2008
0 references
multi-period portfolio selection problem
0 references
Markowitz mean-variance principle
0 references
time-varying means
0 references
covariances
0 references
higher-order and intertemporal moments
0 references
Merton problem
0 references
volatility pumping
0 references
