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Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach

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  • Celikyurt, U.
  • Ozekici, S.
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    File URL: http://www.sciencedirect.com/science/article/B6VCT-4KFMM9R-1/2/b8b1ba37c5f05b70eee10a9199ecbab6
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    Bibliographic Info

    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 179 (2007)
    Issue (Month): 1 (May)
    Pages: 186-202

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    Handle: RePEc:eee:ejores:v:179:y:2007:i:1:p:186-202

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    Web page: http://www.elsevier.com/locate/eor

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    1. Thaleia Zariphopoulou, 2001. "A solution approach to valuation with unhedgeable risks," Finance and Stochastics, Springer, vol. 5(1), pages 61-82.
    2. Merton, Robert C., 1972. "An Analytic Derivation of the Efficient Portfolio Frontier," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(04), pages 1851-1872, September.
    3. Hakansson, Nils H & Liu, Tien-Ching, 1970. "Optimal Growth Portfolios When Yields Are Serially Correlated," The Review of Economics and Statistics, MIT Press, vol. 52(4), pages 385-94, November.
    4. U. Çakmak & S. Özekici, 2006. "Portfolio optimization in stochastic markets," Computational Statistics, Springer, vol. 63(1), pages 151-168, February.
    5. Levy, Haim & Sarnat, Marshall, 1972. "Safety First — An Expected Utility Principle," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(03), pages 1829-1834, June.
    6. Haque, Mahfuzul & Kabir Hassan, M. & Varela, Oscar, 2004. "Safety-first portfolio optimization for US investors in emerging global, Asian and Latin American markets," Pacific-Basin Finance Journal, Elsevier, vol. 12(1), pages 91-116, January.
    7. Duan Li & Wan-Lung Ng, 2000. "Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation," Mathematical Finance, Wiley Blackwell, vol. 10(3), pages 387-406.
    8. Pyle, David H & Turnovsky, Stephen J, 1970. "Safety-First and Expected Utility Maximization in Mean-Standard Deviation Portfolio Analysis," The Review of Economics and Statistics, MIT Press, vol. 52(1), pages 75-81, February.
    9. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
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    Cited by:
    1. 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.
    2. Xiangyu Cui & Xun Li & Duan Li, 2013. "Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection," Papers 1303.1064, arXiv.org.
    3. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function," Papers 1207.1003, arXiv.org.

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