Split Bregman iteration for multi-period mean variance portfolio optimization

This paper investigates the problem of defining an optimal long-term investment strategy, where the investor can exit the investment before maturity without severe loss. Our setting is a multi-period one, where the aim is to make a plan for allocating all of wealth among the n assets within a time h...

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Detalles Bibliográficos
Autores principales: Corsaro, Stefania, De Simone, Valentina, Marino, Zelda
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7535806/
https://www.ncbi.nlm.nih.gov/pubmed/33041390
http://dx.doi.org/10.1016/j.amc.2020.125715

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7535806/
https://www.ncbi.nlm.nih.gov/pubmed/33041390
http://dx.doi.org/10.1016/j.amc.2020.125715

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