Portfolio optimization in stochastic markets

DOI10.1007/s00186-005-0020-xzbMath1136.91409OpenAlexW2096332174MaRDI QIDQ2500788

Yanyan Li

Publication date: 18 August 2006

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-005-0020-x

zbMATH Keywords

Dynamic programmingEfficient frontierPortfolio optimizationMean-variance modelsStochastic market

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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