Multiperiod mean-variance portfolio optimization via market cloning
type: Item
instance of: scholarly article
title: Multiperiod mean-variance portfolio optimization via market cloning
zbMATH Open document ID: 1232.91604
author: Stefan Ankirchner
author: Azzouz Dermoune
published in: Applied Mathematics and Optimization
publication date: 2011-11-23T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C39
Mathematics Subject Classification ID: 49L20
zbMATH DE Number: 5977812
zbMATH Keywords: dynamic programming
zbMATH Keywords: mean variance optimization
zbMATH Keywords: optimal portfolios
zbMATH Keywords: market clones
zbMATH Keywords: independent returns
zbMATH Keywords: empirical mean
MaRDI profile type: Publication
full work available at URL: s00245-011-9134-0
OpenAlex ID: W2036160711
cites work: Nonlinear Diffusion Governed by McKean–Vlasov Equation on Hilbert Space and Optimal Control
cites work: A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
cites work: Optimal dynamic portfolio selection: multiperiod mean-variance formulation
cites work: Stochastic optimal control. The discrete time case
DOI: 10.1007/S00245-011-9134-0
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description: scientific article; zbMATH DE number 5977812