Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns
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Publication:5077224
DOI10.1080/03610926.2019.1636999OpenAlexW2960910231WikidataQ127590067 ScholiaQ127590067MaRDI QIDQ5077224
Yanfei Bai, TianTian Ren, Zhongbao Zhou, Helu Xiao, Wen-bin Liu
Publication date: 18 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2019.1636999
time-consistent strategyserially correlated returnsmean-variance portfolio optimizationportfolio performance evaluation
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