Multi-period stochastic optimization models for dynamic asset allocation
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- Gao, Jianjun & Xiong, Yan & Li, Duan, 2016. "Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time," European Journal of Operational Research, Elsevier, vol. 249(2), pages 647-656.
- Yuichi Takano & Renata Sotirov, 2012.
"A polynomial optimization approach to constant rebalanced portfolio selection,"
Computational Optimization and Applications,
Springer, vol. 52(3), pages 645-666, July.
- Takano, Y. & Sotirov, R., 2010. "A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection," Discussion Paper 2010-114, Tilburg University, Center for Economic Research.
- Yuichi Takano & Jun-ya Gotoh, 2011. "Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(2), pages 191-211, May.
- Kerem SENEL & A. Bulent PAMUKCU, 2012. "A Comparative Study For Multi-Period Asset Allocation Of Defined Contribution Schemes: Evidence From Turkey," Istanbul Commerce University Journal of Social Sciences, Istanbul Commerce University, vol. 21(1), pages 289-304.
- repec:eee:apmaco:v:256:y:2015:i:c:p:445-458 is not listed on IDEAS
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