Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
F. Cong, C.W. Oosterle
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Cong, F. ; Oosterlee, Cornelis Willebrordus |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 64.2016, p. 23-38
|
| Subject: | Dynamic portfolio management | Mean-variance optimization | Constrained optimization | Simulation method | Least squares regression | Portfolio-Management | Portfolio selection | Simulation | Mathematische Optimierung | Mathematical programming | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2016.01.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011708209