Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach

DOI10.1016/j.ejor.2005.02.079zbMath1163.91375OpenAlexW2112492110MaRDI QIDQ858428

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

zbMATH Keywords

portfolio optimizationcoefficient of variationstochastic marketsafety-firstmean--variance modelsquadratic utility functions

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Marketing, advertising (90B60) Portfolio theory (91G10)

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