Discrete time market with serial correlations and optimal myopic strategies
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Cites work
- scientific article; zbMATH DE number 3639528 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- A bounded risk strategy for a market with non-observable parameters.
- Dynamic portfolio strategies: Quantitative methods and empirical rules for incomplete information
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal portfolio selection and compression in an incomplete market
- Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies
Cited in
(17)- Optimal investment with noise trading risk
- Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns
- On asymptotic optimality of Merton's myopic portfolio strategies under time discretization
- Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
- The myopic property in decision models
- Convergence of optimal strategies in a discrete time market with finite horizon
- Bayesian filtering for multi-period mean-variance portfolio selection
- Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated
- A mispricing model of stocks under asymmetric information
- Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
- Optimality of myopic strategies for multi-stock discrete time market with management costs
- Survey on multi-period mean-variance portfolio selection model
- Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
- Portfolio selection with hyperexponential utility functions
- Portfolio selection in stochastic markets with HARA utility functions
- On strong causal binomial approximation for stochastic processes
- Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
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