Multi-period mean–variance portfolio optimization with management fees-Reference-Cited by-同舟云学术

Multi-period mean–variance portfolio optimization with management fees

Published:2019-04-27 Issue:2 Volume:21 Page:1333-1354
ISSN:1109-2858
Container-title:Operational Research
language:en
Short-container-title:Oper Res Int J

Author:

Cui Xiangyu,Gao Jianjun,Shi Yun^ORCID

Funder

National Natural Science Foundation of China

State Key Program in the Major Research Plan of National Natural Science Foundation of China

Publisher

Springer Science and Business Media LLC

Subject

Management of Technology and Innovation,Computational Theory and Mathematics,Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Modeling and Simulation,Numerical Analysis

Link

https://link.springer.com/content/pdf/10.1007/s12351-019-00482-4.pdf

Reference39 articles.

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2. Bertsimas D, Pachamanova D (2008) Robust multi-period portfolio management in the presence of transaction costs. Comput Oper Res 35:3–17

3. Bielecki TR, Jin H, Pliska SR, Zhou XY (2005) Continuoustime meanvariance portfolio selection with bankruptcy prohibition. Math Finance 15:213–244

4. Brown SJ, Goetzmann WN, Liang B (2004) Fees on fees in funds of funds. J Invest Manag 3:39–56

5. Chiu CH, Zhou XY (2011) The premium of dynamic trading. Quant Finance 11:115–123

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