TIME-CONSISTENT MULTIPERIOD MEAN SEMIVARIANCE PORTFOLIO SELECTION WITH THE REAL CONSTRAINTS
Release Time:2022-10-05 Hits:
Date of Publication: 2022-10-03
Journal: JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION
Volume: 17
Issue: 4
Page Number: 1663-1680
ISSN: 1547-5816
Key Words: "Multiperiod mean semivariance portfolio selection; transaction costs; cardinality constraints; time-consistency; a discrete approximate iteration method"