Portfolio optimization in stochastic markets

Mathematical Methods of Operations Research

Volumn 63, Issue 1, 2006, Pages 151-168

  Cakmak U ^a   Ozekici S ^b  

^a Georgia Institute of Technology   (United States)

^b KOÇ UNIVERSITY   (Turkey)

Author keywords

Dynamic programming; Efficient frontier; Mean variance models; Portfolio optimization; Stochastic market

Indexed keywords

DYNAMIC PROGRAMMING; MARKOV PROCESSES; MATHEMATICAL MODELS; OPTIMIZATION;

EFFICIENT FRONTIER; MEAN-VARIANCE MODELS; PORTFOLIO OPTIMIZATION; STOCHASTIC MARKET;

STOCHASTIC PROGRAMMING;

EID: 32044441824     PISSN: 14322994     EISSN: 14325217     Source Type: Journal    
DOI: 10.1007/s00186-005-0020-x     Document Type: Article

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