A mean–variance optimization problem for discounted Markov decision processes-Reference-Cited by-同舟云学术

A mean–variance optimization problem for discounted Markov decision processes

Published:2012-07 Issue:2 Volume:220 Page:423-429
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Guo Xianping,Ye Liuer,Yin George

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference33 articles.

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5. Continuous-time mean-variance portfolio selection with bankruptcy prohibition;Bielecki;Mathematical Finance,2005

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