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Portfolio Optimization with Uncertain Exit Time in Infinite-Time Horizon
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作者 Wen-jing GUO Jun CAI 《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2013年第4期673-684,共12页
In this paper, we study infinite-period mean-variance formulations for portfolio selections with an uncertain exit time. We employ the convergence control method together with the dynamic programming algorithm to deri... In this paper, we study infinite-period mean-variance formulations for portfolio selections with an uncertain exit time. We employ the convergence control method together with the dynamic programming algorithm to derive analytical expressions for the optimal portfolio policy and the mean-variance efficient frontier under certain conditions. We illustrate these results by an numerical example. 展开更多
关键词 infinite-time horizon mean-variance formulation stochastic optimal control dynamic programming algorithm optimal investment policy efficient frontier exit time
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