The Impact of General Correlation Under Multi-Period Mean-Variance Asset-Liability Portfolio Management
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems,Computer Science (miscellaneous)
Link
https://link.springer.com/content/pdf/10.1007/s11424-023-3019-6.pdf
Reference33 articles.
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3. Zhou X Y and Li D, Continuous-time mean-variance portfolio selection: A stochastic LQ framework, Applied Mathematics and Optimization, 2000, 42(1): 19–33.
4. Cui X Y, Li X, and Li D, Unified framework of mean-field formulations for optimal multi-period mean-variance portfolio selection, IEEE Transactions on Automatic Control, 2014, 59(7): 1833–1844.
5. Cui X Y, Gao J J, and Shi Y, Multi-period mean-variance portfolio optimization with management fees, Operational Research, 2021, 21(2): 1333–1354.
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