Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
DOI10.1016/J.AUTOMATICA.2015.01.040zbMATH Open1318.93101DBLPjournals/automatica/GaoLCW15OpenAlexW2058958060WikidataQ57445412 ScholiaQ57445412MaRDI QIDQ490798FDOQ490798
Authors: Xiangyu Cui, J. J. Gao, Duan Li, Shouyang Wang 
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
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Cited In (13)
- Time-consistent multiperiod mean semivariance portfolio selection with the real constraints
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- Bayesian filtering for multi-period mean-variance portfolio selection
- The impact of general correlation under multi-period mean-variance asset-liability portfolio management
- Stochastic portfolio selection problem with reliability criteria
- Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection
- Equilibrium multi-agent model with heterogeneous views on fundamental risks
- Multiperiod mean absolute deviation uncertain portfolio selection with real constraints
- Time-consistent investment strategy under partial information
- Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time
- Hybrid strategy in multiperiod mean-variance framework
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Survey on multi-period mean-variance portfolio selection model
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