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Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection 期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2020, 卷号: 65, 期号: 4, 页码: 1716-1723
Authors:  Ni, Yuan-Hua;  Li, Xun;  Zhang, Ji-Feng;  Krstic, Miroslav
Favorite  |  View/Download：90/0  |  Submit date：2020/05/24
Portfolios  Optimal control  Nickel  Covariance matrices  Optimization  Indexes  Multiperiod mean-variance portfolio selection  stochastic linear-quadratic (LQ) control  time inconsistency  
Dynamic portfolio optimization with risk control for absolute deviation model 期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2010, 卷号: 201, 期号: 2, 页码: 349-364
Authors:  Yu, Mei;  Takahashi, Satoru;  Inoue, Hiroshi;  Wang, Shouyang
Favorite  |  View/Download：57/0  |  Submit date：2018/07/30
Portfolio optimization  Linear programming  Absolute deviation  Dynamic programming  
Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation 期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2004, 卷号: 49, 期号: 3, 页码: 447-457
Authors:  Zhu, SS;  Li, D;  Wang, SY
Favorite  |  View/Download：85/0  |  Submit date：2018/07/30
dynamic portfolio selection  dynamic programming  mean-variance formulation  stochastic control