A multi-period mean-variance portfolio selection with serially correlated returns of risky assets
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Publication:5498047
DOI10.13195/J.KZYJC.2013.0600zbMATH Open1313.91158MaRDI QIDQ5498047FDOQ5498047
Authors: Haixiang Yao, Lingmin Jiang, Qinghua Ma, Minjie Jian 
Publication date: 11 February 2015
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Cited In (9)
- A new multi-period portfolio selection model under the factor model
- Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated
- The impact of general correlation under multi-period mean-variance asset-liability portfolio management
- Portfolio optimization with serially correlated, skewed and fat tailed index returns
- Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns
- Portfolio theory for squared returns correlated across time
- Mean-variance portfolio selection with correlation risk
- SOME FURTHER ANALYTICAL PROPERTIES OF THE CONSTANT CORRELATION MODEL FOR PORTFOLIO SELECTION
- Multi-period portfolio optimization: translation of autocorrelation risk to excess variance
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