Practical investment consequences of the scalarization parameter formulation in dynamic mean - variance portfolio optimization
Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth
| Year of publication: |
2021
|
|---|---|
| Authors: | Staden, Pieter M. van ; Dang, Duy Minh ; Forsyth, Peter |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 5, p. 1-49
|
| Subject: | Asset allocation | constrained optimal control | time consistent | mean–variance | Portfolio-Management | Portfolio selection | Kontrolltheorie | Control theory | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024921500291 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012662021