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Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
Cong, F.; Oosterlee, Cornelis Willebrordus - In: Journal of economic dynamics & control 64 (2016), pp. 23-38
Persistent link: https://www.econbiz.de/10011708209
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On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
Cong, F.; Oosterlee, Cornelis Willebrordus - In: Journal of economic dynamics & control 70 (2016), pp. 178-193
Persistent link: https://www.econbiz.de/10011708681
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Accurate and robust numerical methods for the dynamic portfolio management problem
Cong, Fei; Oosterlee, Cornelis Willebrordus - In: Computational economics 49 (2017) 3, pp. 433-458
Persistent link: https://www.econbiz.de/10011762120