Generalized Markowitz mean–variance principles for multi–period portfolio–selection problems
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Publication:4804021
DOI10.1098/rspa.2002.0983zbMath1038.91043OpenAlexW2149134686MaRDI QIDQ4804021
Thangaraj Draviam, Thamayanthi Chellathurai
Publication date: 9 April 2003
Published in: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1098/rspa.2002.0983
Karush-Kuhn-Tucker conditionsMarkowitz mean-variance principlemulti-period portfolio-selection problemquadratic programming,
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