Continuous-time mean-variance portfolio selection with random horizon in an incomplete market.

Siyu Lv Zhen Wu Zhiyong Yu

Published in: Autom. (2016)

Keyphrases

portfolio selection
financial markets
portfolio management
multistage stochastic
optimal portfolio
portfolio optimization
markov chain
stock price
evolutionary algorithm
short term
stock market
robust optimization
decision making
simulated annealing
missing data
investment strategies