Multiperiod mean-standard-deviation time consistent portfolio selection.

Hugh Bannister Beniamin Goldys Spiridon I. Penev Wei Wu

Published in: Autom. (2016)

Keyphrases

standard deviation
portfolio selection
robust optimization
portfolio optimization
portfolio management
financial markets
impulse response
normal distribution
mathematical programming
root mean square error
optimal portfolio
multiple objectives
production planning
optimal solution
lot sizing
investment decisions