Single-Period Mean–Variance Analysis in a Changing World-Reference-Cited by-同舟云学术

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Single-Period Mean–Variance Analysis in a Changing World

Published:2010 Issue: Volume: Page:213-237
ISSN:0884-8289
Container-title:International Series in Operations Research & Management Science
language:
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Author:

Markowitz Harry M.,van Dijk Erik L.

Publisher

Springer New York

Link

http://link.springer.com/content/pdf/10.1007/978-1-4419-1642-6_10

Reference27 articles.

1. Balduzzi, P., Lynch, A.W.: Transaction costs and predictability: Some utility cost calculations. J. Finan. Econ. 52(1), 47–78 (1999)

2. Bellman, R.E.: Dynamic Programming. Princeton University Press, Princeton, NJ (1957)

3. Constantinides, G.M.: Multiperiod consumption and investment behavior with convex transactions costs. Manage. Sci. 25(11), 1127–1137 (1979)

4. Dantzig, G.B.: Linear programming under uncertainty. Manage. Sci. 1, 197–206 (1955)

5. Dantzig, G.B., Infanger, G.: Multi-stage stochastic linear programs for portfolio optimization. Ann. Oper. Res. 45, 59–76 (1993)

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