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  • Search: subject:"Multi-Period Mean-Variance Formulation"
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Year of publication
Subject
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Expected utility maximization 2 Mathematical programming 2 Mathematische Optimierung 2 Multi-period portfolio selection 2 No-shorting 2 Portfolio selection 2 Portfolio-Management 2 Theorie 2 Theory 2 Anlageverhalten 1 Auxiliary Market 1 Behavioural finance 1 Duality 1 Erwartungsnutzen 1 Expected utility 1 Martingal 1 Martingale 1 Martingale Method 1 Multi-Period Mean-Variance Formulation 1 Multi-period mean-variance formulation 1 Multi-period mean–variance formulation 1 Nutzenfunktion 1 Optimal Trading Strategy 1 Risikomaß 1 Risk Neutral Probability 1 Risk measure 1 Utility function 1
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Undetermined 2
Type of publication
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Article 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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Cui, Xiangyu 2 Gao, Jianjun 2 Li, Duan 2 Li, Xun 2 Qi, Jun 1 Yi, Lan 1
Published in...
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European Journal of Operational Research 1 European journal of operational research : EJOR 1 Journal of mathematical finance 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Multi-period portfolio selection with no-shorting constraints : duality analysis
Qi, Jun; Yi, Lan - In: Journal of mathematical finance 7 (2017) 3, pp. 751-768
Persistent link: https://www.econbiz.de/10011752542
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Optimal multi-period mean–variance policy under no-shorting constraint
Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan - In: European Journal of Operational Research 234 (2014) 2, pp. 459-468
We consider in this paper the mean–variance formulation in multi-period portfolio selection under no-shorting constraint. Recognizing the structure of a piecewise quadratic value function, we prove that the optimal portfolio policy is piecewise linear with respect to the current wealth level,...
Persistent link: https://www.econbiz.de/10010871212
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Optimal muli-period mean-variance policy under no-shorting constraint
Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 459-468
Persistent link: https://www.econbiz.de/10010356724
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