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Dynamic mean-variance portfolio selection with borrowing constraint.

Chenpeng FuAli Lari-LavassaniXun Li
Published in: Eur. J. Oper. Res. (2010)
Keyphrases
  • portfolio selection
  • multistage stochastic
  • portfolio optimization
  • financial markets
  • portfolio management
  • robust optimization
  • multiple objectives
  • neural network
  • long term
  • optimal portfolio
  • transaction costs