Time-consistent multiperiod mean semivariance portfolio selection with the real constraints
From MaRDI portal
Publication:1983719
DOI10.3934/jimo.2020039zbMath1476.91164OpenAlexW3007917322MaRDI QIDQ1983719
Publication date: 10 September 2021
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2020039
transaction costscardinality constraintstime-consistencydiscrete approximate iteration methodmultiperiod mean semivariance portfolio selection
Related Items (1)
Cites Work
- Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints
- Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
- Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
- Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
- Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
- Continuous time mean variance asset allocation: a time-consistent strategy
- Algorithm for cardinality-constrained quadratic optimization
- Portfolio selection using neural networks
- Optimal investment under partial information
- A class of multi-period semi-variance portfolio selection with a four-factor futures price model
- Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA
- Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- Computational study of a family of mixed-integer quadratic programming problems
- A local relaxation method for the cardinality constrained portfolio optimization problem
- Time-consistent mean-variance portfolio selection in discrete and continuous time
- Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm
- Heuristic algorithms for the cardinality constrained efficient frontier
- Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
- A new method for mean-variance portfolio optimization with cardinality constraints
- Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
- Robust scenario optimization based on downside-risk measure for multi-period portfolio selection
- Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting
- Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
- Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure
This page was built for publication: Time-consistent multiperiod mean semivariance portfolio selection with the real constraints