Markowitz principles for multi-period portfolio selection problems with moments of any order

DOI10.1098/RSPA.2007.1911zbMath1132.91459OpenAlexW2132636202MaRDI QIDQ5454654

Thamayanthi Chellathurai, Thangaraj Draviam

Publication date: 31 March 2008

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rspa.2007.1911

zbMATH Keywords

covariancestime-varying meansMerton problemMarkowitz mean-variance principlemulti-period portfolio selection problemhigher-order and intertemporal momentsvolatility pumping

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Formulation of the Russell-Yasuda Kasai Financial Planning Model
• Generalized Markowitz mean–variance principles for multi–period portfolio–selection problems

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