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Time cardinality constrained mean-variance dynamic portfolio selection and market timing: A stochastic control approach.
Jianjun Gao
Duan Li
Xiangyu Cui
Shouyang Wang
Published in:
Autom. (2015)
Keyphrases
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portfolio selection
financial markets
portfolio management
portfolio optimization
optimal portfolio
stochastic control
robust optimization
learning algorithm
queueing systems
neural network
decision making
objective function
optimal solution
multiple objectives