Multiperiod mean-variance portfolio optimization via market cloning
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Publication:647502
DOI10.1007/s00245-011-9134-0zbMath1232.91604OpenAlexW2036160711MaRDI QIDQ647502
Stefan Ankirchner, Azzouz Dermoune
Publication date: 23 November 2011
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-011-9134-0
dynamic programmingmean variance optimizationoptimal portfoliosempirical meanindependent returnsmarket clones
Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Portfolio theory (91G10)
Related Items (4)
Time Consistency of the Mean-Risk Problem ⋮ Mean-variance problems for finite horizon semi-Markov decision processes ⋮ Continuous time mean-variance portfolio optimization through the mean field approach ⋮ Credit risk contagion in an evolving network model integrating spillover effects and behavioral interventions
Cites Work
- A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
- Stochastic optimal control. The discrete time case
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Nonlinear Diffusion Governed by McKean–Vlasov Equation on Hilbert Space and Optimal Control
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