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ArticleMultiperiod Mean-Variance Optimization with Intertemporal Restrictions

O.L.V. Costa2007

Article2007

Multiperiod Mean-Variance Optimization with Intertemporal Restrictions

O.L.V. Costa · Rodrigo de Barros Nabholz

43 citations·0/0 files stored·Journal of Optimization Theory and Applications

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets 1982Modern Portfolio Theory and Investment Analysis.2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation 1992A Mean/Variance Analysis of Tracking Error 2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model 2001Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis

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Year2007

Typearticle

Published2007-06-27

VenueJournal of Optimization Theory and Applications

ISSN-L0022-3239

Languageen

Citations43

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10957-007-9233-x

openalex_workW2012698672

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