Multiperiod mean-variance portfolio optimization via market cloning (Q647502)

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Multiperiod mean-variance portfolio optimization via market cloning
scientific article

    Statements

    title
    Multiperiod mean-variance portfolio optimization via market cloning (English)
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    author
    Stefan Ankirchner
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    Azzouz Dermoune
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    publication date
    23 November 2011
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    zbMATH Keywords
    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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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    90C39
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    49L20
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    zbMATH DE Number
    5977812
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    OpenAlex ID
    W2036160711
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