Optimal muli-period mean-variance policy under no-shorting constraint
Xiangyu Cui; Jianjun Gao; Xun Li; Duan Li
| Year of publication: |
2014
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|---|---|
| Authors: | Cui, Xiangyu ; Gao, Jianjun ; Li, Xun ; Li, Duan |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 234.2014, 2 (1.4.), p. 459-468
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| Subject: | Multi-period portfolio selection | Multi-period mean-variance formulation | Expected utility maximization | No-shorting | Portfolio-Management | Portfolio selection | Theorie | Theory | Erwartungsnutzen | Expected utility | Mathematische Optimierung | Mathematical programming | Nutzenfunktion | Utility function |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010356724