Optimal multi-period mean-variance policy under no-shorting constraint (Q2514718)
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scientific article; zbMATH DE number 6395715
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| English | Optimal multi-period mean-variance policy under no-shorting constraint |
scientific article; zbMATH DE number 6395715 |
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Optimal multi-period mean-variance policy under no-shorting constraint (English)
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3 February 2015
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multi-period portfolio selection
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multi-period mean-variance formulation
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expected utility maximization
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no-shorting
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0.8492169380187988
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0.8257201313972473
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0.8198346495628357
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0.8048442006111145
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