A Financial Model for a Multi-Period Portfolio Optimization Problem with a Variational Formulation

DOI10.1201/B22166-2zbMath1426.49011OpenAlexW2963459555MaRDI QIDQ5234229

Patrizia Daniele, Gabriella Colajanni

Publication date: 25 September 2019

Published in: Variational Analysis and Set Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1201/b22166-2

zbMATH Keywords

transaction coststaxesintermediariesinteger nonlinear programmingMarkowitz mean-variance optimization problemmulti-period portfolio selection problem

Mathematics Subject Classification ID

Variational inequalities (49J40) Microeconomic theory (price theory and economic markets) (91B24) Existence of solutions for minimax problems (49J35)

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