A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time.
Lan YiXianping WuXun LiXiangyu CuiPublished in: Oper. Res. Lett. (2014)
Keyphrases
- portfolio selection
- multi period
- optimal portfolio
- robust optimization
- portfolio optimization
- production planning
- facility location problem
- financial markets
- optimal solution
- data envelopment analysis
- lot sizing
- multi item
- dynamic programming
- multiple objectives
- asymptotically optimal
- decision making
- mathematical programming
- optimal control
- evolutionary algorithm