Multi-period mean-variance portfolio optimization with management fees
Year of publication: |
2021
|
---|---|
Authors: | Cui, Xiangyu ; Gao, Jianjun ; Shi, Yun |
Published in: |
Operational research : an international journal. - Berlin : Springer, ISSN 1866-1505, ZDB-ID 2425760-6. - Vol. 21.2021, 2, p. 1333-1354
|
Subject: | Dynamic mean-variance portfolio selection | Management fee | Dynamic programming | Theorie | Theory | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming |
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