Mean-variance portfolio selection with discontinuous prices and random horizon in an incomplete market.
Haiyang WangZhen WuPublished in: Sci. China Inf. Sci. (2020)
Keyphrases
- portfolio selection
- financial markets
- market data
- portfolio management
- portfolio optimization
- optimal portfolio
- market prices
- stock market
- electricity markets
- online markets
- market participants
- stock price
- market conditions
- dynamic pricing
- pricing mechanism
- robust optimization
- multiple objectives
- competitive market
- bidding strategies
- long run
- transaction costs
- budget constraints
- exchange rate
- supply chain management
- risk management
- missing data
- multi objective