Multiperiod mean-variance portfolio optimization via market cloning
DOI10.1007/S00245-011-9134-0zbMATH Open1232.91604OpenAlexW2036160711MaRDI QIDQ647502FDOQ647502
Authors: 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
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- Mean variance optimization of portfolios
dynamic programmingmean variance optimizationoptimal portfoliosempirical meanindependent returnsmarket clones
Dynamic programming (90C39) Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20)
Cites Work
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Stochastic optimal control. The discrete time case
- Nonlinear Diffusion Governed by McKean–Vlasov Equation on Hilbert Space and Optimal Control
- A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
Cited In (4)
- Credit risk contagion in an evolving network model integrating spillover effects and behavioral interventions
- Continuous time mean-variance portfolio optimization through the mean field approach
- Mean-variance problems for finite horizon semi-Markov decision processes
- Time consistency of the mean-risk problem
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