Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies
DOI10.1016/0377-2217(91)90190-7zbMATH Open0729.90990OpenAlexW2016053209MaRDI QIDQ807368FDOQ807368
Publication date: 1991
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0377-2217(91)90190-7
Management decision making, including multiple objectives (90B50) Linear programming (90C05) Applications of mathematical programming (90C90) Portfolio theory (91G10) Computational methods for problems pertaining to operations research and mathematical programming (90-08) Economic growth models (91B62)
Cites Work
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Cited In (15)
- Robust convex conic optimization in D-induced duality framework
- Dynamic models for fixed-income portfolio management under uncertainty
- Competing transformation models
- Massively parallel processing of recursive multi-period portfolio models
- A fuzzy control model (FCM) for dynamic portfolio management
- Dynamic portfolio optimization with risk control for absolute deviation model
- Copula-based Black-Litterman portfolio optimization
- Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
- Discrete time market with serial correlations and optimal myopic strategies
- A mispricing model of stocks under asymmetric information
- Recursive portfolio management: Large-scale evidence from two Scandinavian stock markets
- Mean-variance asset-liability management under constant elasticity of variance process
- Solving a linear multiperiod portfolio problem by interior-point methodology
- Optimality of myopic strategies for multi-stock discrete time market with management costs
- Dynamic portfolio management under competing representations
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