Multi-Period Mean-Variance Portfolio Optimization With High-Order Coupled Asset Dynamics

DOI10.1109/TAC.2014.2370236MaRDI QIDQ2982742zbMATH OpenOpenAlexFDO

Authors Jianping He, Qing-Guo Wang, Peng Cheng, Jiming Chen, Youxian Sun

Publication date 16 May 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2014.2370236

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10) Financial applications of other theories (91G80)

Cited in

(10)

• Bayesian filtering for multi-period mean-variance portfolio selection
• A kernel-based trend pattern tracking system for portfolio optimization
• Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem
• Short-term sparse portfolio optimization based on alternating direction method of multipliers
• Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
• Consensus estimation-based target localization in underwater acoustic sensor networks
• Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion
• A multi-period constrained multi-objective evolutionary algorithm with orthogonal learning for solving the complex carbon neutral stock portfolio optimization model
• Multiperiod mean-variance portfolio optimization via market cloning
• Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach

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