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Split Bregman iteration for multi-period mean variance portfolio optimization
This paper investigates the problem of defining an optimal long-term investment strategy, where the investor can exit the investment before maturity without severe loss. Our setting is a multi-period one, where the aim is to make a plan for allocating all of wealth among the n assets within a time h...
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| Publicado en: | Appl Math Comput |
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| Main Authors: | , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado: |
Elsevier Inc.
2021
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| Assuntos: | |
| Acceso en liña: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7535806/ https://ncbi.nlm.nih.gov/pubmed/33041390 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.amc.2020.125715 |
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