Multiperiod mean-variance portfolio optimization via market cloning (Q647502)
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scientific article; zbMATH DE number 5977812
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| English | Multiperiod mean-variance portfolio optimization via market cloning |
scientific article; zbMATH DE number 5977812 |
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Multiperiod mean-variance portfolio optimization via market cloning (English)
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23 November 2011
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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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0.9004631
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0.8884644
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0.8744612
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0.8713558
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0.87053055
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0.8704727
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0.86569333
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0.8626988
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