Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
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Publication:3580015
DOI10.1051/cocv/2009008zbMath1198.91185MaRDI QIDQ3580015
Publication date: 11 August 2010
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/44561
serial correlation; optimal portfolio; mean variance portfolio; myopic strategies; discrete time market; goal achieving; multi-period market
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Cites Work
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