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Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer.
Junna Bi
Junyi Guo
Lihua Bai
Published in:
J. Syst. Sci. Complex. (2011)
Keyphrases
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asset allocation
optimization criterion
optimal portfolio
dynamic programming
decision making
optimality criterion
optimal solution
optimal control
investment strategies
minimum error
lower bound
optimal design
quasi linear