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TIME-CONSISTENT MULTIPERIOD MEAN SEMIVARIANCE PORTFOLIO SELECTION WITH THE REAL CONSTRAINTS

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Date of Publication:2022-10-03

Journal:JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION

Volume:17

Issue:4

Page Number:1663-1680

ISSN No.:1547-5816

Key Words:"Multiperiod mean semivariance portfolio selection; transaction costs; cardinality constraints; time-consistency; a discrete approximate iteration method"

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