Multiperiod mean-variance optimization with intertemporal restrictions

DOI10.1007/s10957-007-9233-xzbMath1190.90272MaRDI QIDQ2471098

Oswaldo L. V. Costa, R. B. Nabholz

Publication date: 18 February 2008

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-007-9233-x

zbMATH Keywords

portfolio selection; intermediate restrictions

Mathematics Subject Classification ID

90C15: Stochastic programming

90C48: Programming in abstract spaces

91G10: Portfolio theory

Related Items

Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise, Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows, Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow, A generalized multi-period mean-variance portfolio optimization with Markov switching parameters, Portfolio selection problems with Markowitz's mean-variance framework: a review of literature, Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises, Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions

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