Multi-period mean-variance portfolio optimization with management fees.
Xiangyu CuiJianjun GaoYun ShiPublished in: Oper. Res. (2021)
Keyphrases
- portfolio optimization
- multi period
- portfolio management
- portfolio selection
- production planning
- problems involving
- factor analysis
- risk management
- planning horizon
- stock market
- data envelopment analysis
- robust optimization
- facility location problem
- lot sizing
- bi objective
- routing problem
- stock price
- stock exchange
- sharpe ratio
- financial markets
- total cost
- optimization methods
- mathematical programming
- project management
- linear programming
- lower bound