Optimal dynamic portfolio selection: Multiperiod mean-variance formulation

Mathematical Finance

Volumn 10, Issue 3, 2000, Pages 387-406

  Li, Duan ^a   Ng, Wan Lung ^b  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^b NONE

Author keywords

Multiperiod mean variance formulation; Multiperiod portfolio selection; Utility function

Indexed keywords

EID: 0034347106     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00100     Document Type: Article

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