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Multi-Period Mean-Variance Analysis: Toward A General Theory of Portfolio Choice

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  • Hakansson, Nils H
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    Bibliographic Info

    Article provided by American Finance Association in its journal Journal of Finance.

    Volume (Year): 26 (1971)
    Issue (Month): 4 (September)
    Pages: 857-84

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    Handle: RePEc:bla:jfinan:v:26:y:1971:i:4:p:857-84

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    Cited by:
    1. Sciubba, E., 1999. "The Evolution of Portfolio Rules and the Capital Asset Pricing Model," Cambridge Working Papers in Economics 9909, Faculty of Economics, University of Cambridge.
    2. Muteba Mwamba, John & Suteni, Mwambi, 2010. "An alternative to portfolio selection problem beyond Markowitz’s: Log Optimal Growth Portfolio," MPRA Paper 50240, University Library of Munich, Germany.
    3. Dokuchaev, Nikolai, 2007. "Discrete time market with serial correlations and optimal myopic strategies," European Journal of Operational Research, Elsevier, vol. 177(2), pages 1090-1104, March.
    4. Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Guido Caldarelli & M. Piccioni & E. Sciubba, 2000. "A Numerical Study On The Evolution Of Portfolio Rules," Computing in Economics and Finance 2000 334, Society for Computational Economics.
    6. Blake LeBaron, 2010. "Wealth Dynamics and a Bias Toward Momentum Trading," Working Papers 14, Brandeis University, Department of Economics and International Businesss School.
    7. Buckley, Winston S. & Brown, Garfield O. & Marshall, Mario, 2012. "A mispricing model of stocks under asymmetric information," European Journal of Operational Research, Elsevier, vol. 221(3), pages 584-592.
    8. Ye, Jun & Li, Tiantian, 2012. "The optimal mean–variance investment strategy under value-at-risk constraints," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 344-351.
    9. Zhang, Wei-Guo & Liu, Yong-Jun & Xu, Wei-Jun, 2012. "A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs," European Journal of Operational Research, Elsevier, vol. 222(2), pages 341-349.
    10. Castellano, Rosella & Cerqueti, Roy, 2014. "Mean–Variance portfolio selection in presence of infrequently traded stocks," European Journal of Operational Research, Elsevier, vol. 234(2), pages 442-449.
    11. Blake LeBaron, 2011. "Active and Passive Learning in Agent-based Financial Markets," Eastern Economic Journal, Palgrave Macmillan, vol. 37(1), pages 35-43.
    12. Estada, Javier, 2003. "Mean-semivariance behavior: An alternative behavioral model," IESE Research Papers D/492, IESE Business School.
    13. Heping XIONG & Jingming ZHOU, 2013. "On Tobin's Multiperiod Portfolio Theorem," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 199-208, October.
    14. Zhang, Xili & Zhang, Weiguo & Xiao, Weilin, 2013. "Multi-period portfolio optimization under possibility measures," Economic Modelling, Elsevier, vol. 35(C), pages 401-408.

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