Multi‐period mean variance portfolio selection under incomplete information
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Publication:4620169
DOI10.1002/asmb.2191zbMath1420.91437OpenAlexW2523133803MaRDI QIDQ4620169
Ling Zhang, Yongwu Li, Yunhui Xu, Zhong-Fei Li
Publication date: 8 February 2019
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.2191
Dynamic programming (90C39) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10)
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