Multi-period portfolio selection with no-shorting constraints : duality analysis
Jun Qi, Lan Yi
| Year of publication: |
August 2017
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|---|---|
| Authors: | Qi, Jun ; Yi, Lan |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 7.2017, 3, p. 751-768
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| Subject: | Multi-Period Mean-Variance Formulation | Auxiliary Market | Martingale Method | Risk Neutral Probability | Duality | Optimal Trading Strategy | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Martingal | Martingale | Risikomaß | Risk measure | Anlageverhalten | Behavioural finance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2017.73040 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011752542