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"Multi-period portfolio optimization using model predictive control with ..."

Xiaoyue Li, Ayse Sinem Uysal, John M. Mulvey (2022)

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DOI: 10.1016/J.EJOR.2021.10.002

access: closed

type: Journal Article

metadata version: 2022-09-05

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  - https://dblp.org/rec/journals/eor/LiUM22
Xiaoyue Li, Ayse Sinem Uysal, John M. Mulvey:
Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks. Eur. J. Oper. Res. 299(3): 1158-1176 (2022)

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