Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation

DOI10.1016/j.jedc.2016.01.001zbMath1401.91513OpenAlexW2231321490MaRDI QIDQ1656758

Y. Aharonov

Publication date: 10 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2016.01.001

zbMATH Keywords

constrained optimizationleast squares regressionmean-variance optimizationsimulation methoddynamic portfolio management

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

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