Survey on multi-period mean-variance portfolio selection model

DOI10.1007/s40305-022-00397-6OpenAlexW4225934559MaRDI QIDQ2676167

Xun Li, Xiangyu Cui, Yun Shi, Jian-Jun Gao

Publication date: 27 September 2022

Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40305-022-00397-6

zbMATH Keywords

time inconsistencymulti-period mean-varianceinvestment constraints

Mathematics Subject Classification ID

Dynamic programming (90C39) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

A unified algorithm framework for mean-variance optimization in discounted Markov decision processes

Uses Software

• CVXPortfolio

Cites Work

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