A multi-period mean-variance portfolio selection with serially correlated returns of risky assets (Q5498047)
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scientific article; zbMATH DE number 6402007
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| English | A multi-period mean-variance portfolio selection with serially correlated returns of risky assets |
scientific article; zbMATH DE number 6402007 |
Statements
11 February 2015
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serially correlated returns
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multi-period mean-variance model
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Lagrange duality principle
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dynamic programming
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0.8857964277267456
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0.8441005945205688
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0.8073145747184753
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0.8061972856521606
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