Multiperiod mean-variance optimization with intertemporal restrictions
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Publication:2471098
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Cited in
(15)- 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
- Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan
- Survey on multi-period mean-variance portfolio selection model
- 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
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- A mean-field formulation for the mean-variance control of discrete-time linear systems with multiplicative noises
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- A geometric approach to multiperiod mean variance optimization of assets and liabilities
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