Search Results - subject:"mean-variance formulation"

Time consistent in efficiency dynamic mean-variance policy

Shi, Yun; Li, Duan; Cui, Xiangyu - In: Journal of the Operational Research Society 74 (2023) 1, pp. 195-208

Persistent link: https://www.econbiz.de/10014231704

Mean-variance dynamic portfolio allocation with transaction costs : a Wiener chaos expansion approach

Cousin, Areski; Picard, T. - In: Applied mathematical finance 30 (2023) 6, pp. 313-353

Persistent link: https://www.econbiz.de/10015194154

Multi-period mean-variance portfolio selection with practical constraints using heuristic genetic algorithms

Chen, Yao-Tsung; Yang, Hao-Qun - In: International journal of computational economics and … 10 (2020) 3, pp. 209-221

Persistent link: https://www.econbiz.de/10012271054

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

Time consistent behavioral portfolio policy for dynamic mean-variance formulation

Cui, Xiangyu; Li, Xun; Li, Duan; Shi, Yun - In: Journal of the Operational Research Society : OR 68 (2017) 12, pp. 1647-1660

Persistent link: https://www.econbiz.de/10011816054

Self-coordination in time inconsistent stochastic decision problems : a planner-doer game framework

Cui, Xiangyu; Li, Duan; Shi, Yun - In: Journal of economic dynamics & control 75 (2017), pp. 91-113

Persistent link: https://www.econbiz.de/10011817149

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 … the wealth process and its implications for market settings. We also generalize our results in the mean–variance … formulation to utility maximization with no-shorting constraint. …

Persistent link: https://www.econbiz.de/10010871212

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