Optimal multi-period mean-variance policy under no-shorting constraint
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Publication:2514718
DOI10.1016/j.ejor.2013.02.040zbMath1304.91185OpenAlexW3123829977WikidataQ57445421 ScholiaQ57445421MaRDI QIDQ2514718
Xun Li, Xiangyu Cui, Li, Duan, Jian-Jun Gao
Publication date: 3 February 2015
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2013.02.040
expected utility maximizationmulti-period portfolio selectionmulti-period mean-variance formulationno-shorting
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