Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
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Publication:858428
DOI10.1016/J.EJOR.2005.02.079zbMATH Open1163.91375OpenAlexW2112492110MaRDI QIDQ858428FDOQ858428
Authors: U. Çelikyurt, Süleyman Özekici 
Publication date: 9 January 2007
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2005.02.079
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Cited In (70)
- Portfolio optimization with transaction costs: a two-period mean-variance model
- Multi-period mean-variance portfolio selection in a regime-switching market with a bankruptcy state
- A multi-period fuzzy portfolio optimization model with minimum transaction lots
- Multiperiod Telser's safety-first portfolio selection with regime switching
- Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated
- Title not available (Why is that?)
- Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints
- Multi-period mean-semivariance portfolio optimization based on uncertain measure
- Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
- Optimal investment with noise trading risk
- 2-phase NSGA II: an optimized reward and risk measurements algorithm in portfolio optimization
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- Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints
- On the equivalence of quadratic optimization problems commonly used in portfolio theory
- Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises
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- On solutions of fuzzy random multiobjective quadratic programming with applications in portfolio problem
- Portfolio optimization in a regime-switching market with derivatives
- Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
- A discontinuous mispricing model under asymmetric information
- A class of multi-period semi-variance portfolio selection with a four-factor futures price model
- Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
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- Multi-stage stochastic model in portfolio selection problem
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- Multi-period portfolio management and a simple method for calculating the realized return with transaction costs
- Bayesian filtering for multi-period mean-variance portfolio selection
- Computer Construction of Quasi Optimal Portfolio for Stochastic Models with Jumps of Financial Markets
- Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints
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- First passage times in portfolio optimization: a novel nonparametric approach
- Generalized Markowitz mean–variance principles for multi–period portfolio–selection problems
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