Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
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Publication:3580015
DOI10.1051/cocv/2009008zbMath1198.91185OpenAlexW3121177693MaRDI QIDQ3580015
Publication date: 11 August 2010
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/44561
serial correlationoptimal portfoliomean variance portfoliomyopic strategiesdiscrete time marketgoal achievingmulti-period market
Related Items (2)
On the structure of multifactor optimal portfolio strategies ⋮ Mutual fund theorem for continuous time markets with random coefficients
Cites Work
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