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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier Inc.
2021
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| Materias: | |
| 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 |