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Dynamic mean-variance portfolio selection with borrowing constraint
Fu, Chenpeng; Lari-Lavassani, Ali; Li, Xun - In: European journal of operational research : EJOR 200 (2009/10) 1, pp. 312-319
Persistent link: https://www.econbiz.de/10003895181
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A dynamic programming approach to constrained portfolios
Kraft, Holger; Steffensen, Mogens - In: European journal of operational research : EJOR 229 (2013) 2, pp. 453-461
Persistent link: https://www.econbiz.de/10009757976
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Optimal muli-period mean-variance policy under no-shorting constraint
Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 459-468
Persistent link: https://www.econbiz.de/10010356724
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On the stability of continuous-time portfolio problems with stochastic opportunity set
Korn, Ralf; Kraft, Holger - In: Mathematical finance : an international journal of … 14 (2004) 3, pp. 403-414
Persistent link: https://www.econbiz.de/10002125556
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Mean-variance policy for discrete-time cone-constrained markets : time consistency in efficiency and the minimum-variance signed supermartingale measure
Cui, Xiangyu; Li, Duan; Li, Xun - In: Mathematical finance : an international journal of … 27 (2017) 2, pp. 471-504
Persistent link: https://www.econbiz.de/10011752513
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Pandemic portfolio choice
Kraft, Holger; Weiss, Farina - In: European journal of operational research : EJOR 305 (2023) 1, pp. 451-462
Persistent link: https://www.econbiz.de/10013479223