Multi-period mean-variance portfolio selection with a benchmark process

MaRDI QIDQ3145642zbMATH OpenFDO

Authors Qingxian Xiao, Limin Liu

Publication date 21 December 2012

Full work available at URL http://www.m-hikari.com/ijcms/ijcms-2012/33-36-2012/index.html

zbMATH Keywords

mean-variance criterionefficient frontiercontingent claimoptimal hedging strategy

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

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(10)

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• scientific article; zbMATH DE number 2219397 (Why is no real title available?)
• A discrete-time benchmark tracking problem in two markets subject to random environments

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