Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection.
Xiangyu CuiXun LiDuan LiPublished in: IEEE Trans. Autom. Control. (2014)
Keyphrases
- portfolio selection
- multi period
- unified framework
- optimal portfolio
- portfolio optimization
- production planning
- financial markets
- robust optimization
- facility location problem
- planning horizon
- optimal solution
- probabilistic model
- total cost
- lot sizing
- routing problem
- multiple objectives
- optimal control
- lot size
- worst case
- dynamic programming
- input output