The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility

DOI10.1007/978-3-319-28697-6_7zbMath1341.91122OpenAlexW2465071816MaRDI QIDQ2806891

Taras Bodnar, Wolfgang Schmid, Nestor Parolya

Publication date: 19 May 2016

Published in: Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-28697-6_7

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• On the equivalence of quadratic optimization problems commonly used in portfolio theory

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