Markowitz principles for multi-period portfolio selection problems with moments of any order (Q5454654)
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scientific article; zbMATH DE number 5256289
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Markowitz principles for multi-period portfolio selection problems with moments of any order |
scientific article; zbMATH DE number 5256289 |
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Markowitz principles for multi-period portfolio selection problems with moments of any order (English)
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31 March 2008
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multi-period portfolio selection problem
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Markowitz mean-variance principle
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time-varying means
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covariances
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higher-order and intertemporal moments
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Merton problem
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volatility pumping
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