Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
Xiaoyue Li, A. Sinem Uysal, John M. Mulvey
| Year of publication: |
2022
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|---|---|
| Authors: | Li, Xiaoyue ; Uysal, A. Sinem ; Mulvey, John M. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 299.2022, 3 (16.6.), p. 1158-1176
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| Subject: | Finance | Model predictive control | Multi-period portfolio optimization | Risk parity | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Theorie | Theory | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2021.10.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013207254