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Multi-period stochastic optimization models for dynamic asset allocation

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  • Hibiki, Norio

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  • Hibiki, Norio, 2006. "Multi-period stochastic optimization models for dynamic asset allocation," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 365-390, February.
  • Handle: RePEc:eee:jbfina:v:30:y:2006:i:2:p:365-390
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    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. repec:eee:apmaco:v:256:y:2015:i:c:p:445-458 is not listed on IDEAS

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