Bankruptcy prevention in multiperiod Markowitz optimization problem

DOI10.3103/S0278641916020084zbMath1349.91256MaRDI QIDQ344024

Mohammad Hasan, M. Dambrine

Publication date: 22 November 2016

Published in: Moscow University Computational Mathematics and Cybernetics (Search for Journal in Brave)

zbMATH Keywords

quadratic programmingbankruptcyarbitrage-free marketsinvestment portfolio optimizationMarkowitz problem

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation

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