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Multi-period portfolio optimization under possibility measures

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Multi-period portfolio selection : a practical simulation-based framework

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A multi-period portfolio selection optimization model by using interval analysis

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Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set

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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

Multi-period mean-variance portfolio selection with practical constraints using heuristic genetic algorithms

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Dynamic portfolio optimization across hidden market regimes

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Wealth-driven competition in a speculative financial market: Examples with maximizing agents

Anufriev, Mikhail - 2005

This paper demonstrates how both quantitative and qualitative results of general, analytically tractable asset-pricing model in which heterogeneous agents behave consistently with a constant relative risk aversion assumption can be applied to the particular case of linear investment choices. In...

Persistent link: https://www.econbiz.de/10010328419