Dynamic mean-variance portfolio selection under factor models
Yun Shi, Lingjie Kong, Lanzhi Yang, Duan Li, Xiangyu Cui
| Year of publication: |
2024
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|---|---|
| Authors: | Shi, Yun ; Kong, Lingjie ; Yang, Lanzhi ; Li, Duan ; Cui, Xiangyu |
| Published in: |
Journal of economic dynamics & control. - Amsterdam : North-Holland Publ. Co., ISSN 0165-1889, ZDB-ID 1460621-5. - Vol. 167.2024, Art.-No. 104923, p. 1-18
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| Subject: | Common factor of risk | Factor models | Multi-period mean-variance model | Sharpe ratio | Portfolio-Management | Portfolio selection | Faktorenanalyse | Factor analysis | Theorie | Theory | CAPM | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2024.104923 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015556256