Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach
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- 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.
- 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.
- repec:spr:compst:v:50:y:1999:i:2:p:167-188 is not listed on IDEAS
- Thaleia Zariphopoulou, 2001. "A solution approach to valuation with unhedgeable risks," Finance and Stochastics, Springer, vol. 5(1), pages 61-82.
- 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.
- 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.
- repec:spr:compst:v:50:y:1999:i:3:p:463-474 is not listed on IDEAS
- Duan Li & Wan-Lung Ng, 2000. "Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation," Mathematical Finance, Wiley Blackwell, vol. 10(3), pages 387-406.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
- repec:spr:compst:v:63:y:2006:i:1:p:151-168 is not listed on IDEAS
- U. Çakmak & S. Özekici, 2006. "Portfolio optimization in stochastic markets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(1), pages 151-168, February.
- 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.
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