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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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Multi-period portfolio optimization under possibility measures
Zhang, Xili; Zhang, Weiguo; Xiao, Weilin - In: Economic modelling 35 (2013), pp. 401-408
Persistent link: https://www.econbiz.de/10010259788
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A multi-period portfolio selection optimization model by using interval analysis
Liu, Yong-jun; Zhang, Wei-guo; Zhang, Pu - In: Economic modelling 33 (2013), pp. 113-119
Persistent link: https://www.econbiz.de/10010192031
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Credibilitic mean-variance model for multi-period portfolio selection problem with risk control
Zhang, Wei-guo; Liu, Yong-jun - In: OR spectrum : quantitative approaches in management 36 (2014) 1, pp. 113-132
Persistent link: https://www.econbiz.de/10010251262
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Dynamic portfolio optimization across hidden market regimes
Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Quantitative finance 18 (2018) 1, pp. 83-95
Persistent link: https://www.econbiz.de/10011905831
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Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
Ling, Aifan; Sun, Jie; Wang, Meihua - In: European journal of operational research : EJOR 285 (2020) 1, pp. 81-95
Persistent link: https://www.econbiz.de/10012239481
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Multi-period mean-variance portfolio selection with practical constraints using heuristic genetic algorithms
Chen, Yao-Tsung; Yang, Hao-Qun - In: International journal of computational economics and … 10 (2020) 3, pp. 209-221
Persistent link: https://www.econbiz.de/10012271054
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A mean-field formulation for multi-period asset–liability mean–variance portfolio selection with an uncertain exit time
Cui, Xiangyu; Li, Xun; Wu, Xianping; Yi, Lan - In: Journal of the Operational Research Society 69 (2018) 4, pp. 487-499
Persistent link: https://www.econbiz.de/10012225172
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Multi-period portfolio selection : a practical simulation-based framework
Blay, Kenneth; Ghosh, Anish; Kusiak, Steven; Markowitz, … - In: Journal of investment management : JOIM 18 (2020) 4, pp. 94-129
Persistent link: https://www.econbiz.de/10012589468
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High-dimensional multi-period portfolio allocation using deep reinforcement learning
Jiang, Yifu; Olmo, Jose; Atwi, Majed - In: International review of economics & finance : IREF 98 (2025), pp. 1-18
Persistent link: https://www.econbiz.de/10015333037