A dynamic view of the portfolio efficiency frontier

DOI10.1016/0898-1221(89)90108-9zbMath0681.90009OpenAlexW2061741764MaRDI QIDQ1823827

Jati K. Sengupta

Publication date: 1989

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(89)90108-9

zbMATH Keywords

Kalman filtersintertemporal optimizationportfolio efficiency frontiereconometric estimation

Mathematics Subject Classification ID

Related Items (2)

Transformations in stochastic DEA models ⋮ Maximum probability dominance and portfolio theory

Cites Work

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• Dynamic programming and stochastic control
• Stochastic optimization and economic models
• Estimating structural and functional relationships
• On the Stable Paretian Behavior of Stock-Market Prices
• Optimal portfolio choice in the singular case
• An intertemporal asset pricing model with stochastic consumption and investment opportunities

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