Dynamic mean-variance portfolio selection under factor models

DOI10.1016/J.JEDC.2024.104923MaRDI QIDQ6974137zbMATH OpenFDO

Authors Yun Shi, Lingjie Kong, Lanzhi Yang, Duan Li, Xiangyu Cui

Publication date 10 June 2025

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

zbMATH Keywords

factor modelsSharpe ratiomulti-period mean-variance modelcommon factor of risk

Mathematics Subject Classification ID

Portfolio theory (91G10)

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