Multi-Period Mean-Variance Portfolio Optimization With High-Order Coupled Asset Dynamics

DOI10.1109/TAC.2014.2370236zbMath1360.91135OpenAlexW2085148727MaRDI QIDQ2982742

Qing-Guo Wang, Jianping He, Peng Cheng, You-Xian Sun, Ji-Ming Chen

Publication date: 16 May 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.2014.2370236

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Financial applications of other theories (91G80) Portfolio theory (91G10)

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