Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach

DOI10.1016/j.automatica.2015.01.040zbMath1318.93101OpenAlexW2058958060WikidataQ57445412 ScholiaQ57445412MaRDI QIDQ490798

Xiangyu Cui, Jian-Jun Gao, Shou-Yang Wang, Li, Duan

Publication date: 21 August 2015

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2015.01.040

zbMATH Keywords

stochastic controlmarket timingmulti-period portfolio selectioncardinality constraintmulti-period mean-variance formulation

Mathematics Subject Classification ID

Related Items (12)

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