On horizon-consistent mean-variance portfolio allocation.
Simone Cerreia-VioglioFulvio OrtuFrancesco RotondiFederico SeverinoPublished in: Ann. Oper. Res. (2024)
Keyphrases
- portfolio selection
- portfolio optimization
- efficient frontier
- utility function
- portfolio management
- data sets
- dynamic allocation
- investment strategies
- optimal allocation
- resource allocation
- decision making
- robust optimization
- quadratic programming
- globally optimal
- transaction costs
- problems involving
- stock market
- quasi linear
- database
- allocation problems