Explicit Efficient Frontier of a Continuous-Time Mean Variance Portfolio Selection Problem.
Xun Yu ZhouDuan LiPublished in: Control of Distributed Parameter and Stochastic Systems (1998)
Keyphrases
- efficient frontier
- data envelopment analysis
- multiple objective linear programming
- linear program
- multiple criteria
- decision makers
- multi objective
- linear programming
- markov chain
- optimal control
- portfolio selection
- input output
- multiobjective optimization
- markov processes
- dynamical systems
- state space
- dynamic programming
- fuzzy sets
- multi criteria
- fuzzy logic
- evolutionary algorithm