Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
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Cited in
(70)- Optimal investment with noise trading risk
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Multiperiod mean-variance portfolio optimization via market cloning
- Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
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- A discontinuous mispricing model under asymmetric information
- Portfolio optimization with transaction costs: a two-period mean-variance model
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- The performance of stochastic dynamic and fixed mix portfolio models
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- A class of multi-period semi-variance portfolio selection with a four-factor futures price model
- A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
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- On the equivalence of quadratic optimization problems commonly used in portfolio theory
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- Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
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- Portfolio selection with hyperexponential utility functions
- Portfolio selection in stochastic markets with HARA utility functions
- A multi-period fuzzy portfolio optimization model with minimum transaction lots
- Computer Construction of Quasi Optimal Portfolio for Stochastic Models with Jumps of Financial Markets
- Multi-stage stochastic model in portfolio selection problem
- Multi-period portfolio management and a simple method for calculating the realized return with transaction costs
- Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints
- First passage times in portfolio optimization: a novel nonparametric approach
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- scientific article; zbMATH DE number 2219397 (Why is no real title available?)
- Bayesian filtering for multi-period mean-variance portfolio selection
- Portfolio selection with regime-switching and state-dependent preferences
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