A simple solution to a continuous-time mean-variance portfolio selection via the mean-variance hedging.

Naohiro Yoshida

Published in: JSIAM Lett. (2019)

Keyphrases

portfolio selection
multistage stochastic
financial markets
robust optimization
portfolio optimization
portfolio management
transaction costs
optimal portfolio
integer programming
decision making
multiple objectives
evolutionary algorithm
multi objective
dynamic programming
utility function
stock market