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Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies

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  • Ostermark, Ralf

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  • Ostermark, Ralf, 1991. "Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies," European Journal of Operational Research, Elsevier, vol. 55(1), pages 46-56, November.
    • Handle: RePEc:eee:ejores:v:55:y:1991:i:1:p:46-56
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    Cited by:

    1. Glensk, Barbara & Madlener, Reinhard, 2011. "Dynamic Portfolio Selection Methods for Power Generation Assets," FCN Working Papers 16/2011, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
    2. Zenios, Stavros A. & Holmer, Martin R. & McKendall, Raymond & Vassiadou-Zeniou, Christiana, 1998. "Dynamic models for fixed-income portfolio management under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 22(10), pages 1517-1541, August.
    3. Alexandra Rodkina & Nikolai Dokuchaev, 2014. "On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market," Papers 1403.4329, arXiv.org, revised Nov 2014.
    4. 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.
    5. Yu, Mei & Takahashi, Satoru & Inoue, Hiroshi & Wang, Shouyang, 2010. "Dynamic portfolio optimization with risk control for absolute deviation model," European Journal of Operational Research, Elsevier, vol. 201(2), pages 349-364, March.

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