Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
type: Item
instance of: scholarly article
title: Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
zbMATH Open document ID: 1401.91513
author: Y. Aharonov
publication date: 2018-08-10T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6916441
zbMATH Keywords: dynamic portfolio management
zbMATH Keywords: mean-variance optimization
zbMATH Keywords: constrained optimization
zbMATH Keywords: simulation method
zbMATH Keywords: least squares regression
MaRDI profile type: Publication
full work available at URL: j.jedc.2016.01.001
OpenAlex ID: W2231321490
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DOI: 10.1016/J.JEDC.2016.01.001
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6916441