Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
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Publication:2707157
DOI10.1111/1467-9965.00100zbMath0997.91027OpenAlexW2132621139WikidataQ57445547 ScholiaQ57445547MaRDI QIDQ2707157
Publication date: 29 March 2001
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00100
Least squares and related methods for stochastic control systems (93E24) Dynamic programming (90C39) Linear-quadratic optimal control problems (49N10) Portfolio theory (91G10)
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