A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time
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Publication:1785290
DOI10.1016/j.orl.2014.08.007zbMath1408.91205OpenAlexW2054996849MaRDI QIDQ1785290
Lan Yi, Xun Li, Xiangyu Cui, Xianping Wu
Publication date: 28 September 2018
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2014.08.007
multi-period portfolio selectionmulti-period mean-variance formulationuncertain exit timemean-field formulation
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