Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection.
Yuan-Hua NiXun LiJi-Feng ZhangMiroslav KrsticPublished in: IEEE Trans. Autom. Control. (2020)
Keyphrases
- portfolio selection
- robust optimization
- portfolio optimization
- multiple objectives
- multistage stochastic
- financial markets
- portfolio management
- multi objective
- optimal portfolio
- optimal solution
- bi objective
- production planning
- decision theory
- transaction costs
- mathematical programming
- benchmark problems
- investment decisions
- capacity expansion
- game theory
- resource allocation