Open AccessMultiperiod Mean-Variance Customer Constrained Portfolio Optimization for Finite Discrete-Time Markov Chains
Author(s) -
Florentino Domiguez,
Julio B. Clempner
Publication year - 2019
Publication title -
economic computation and economic cybernetics studies and research
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 0.258
H-Index - 18
eISSN - 1842-3264
pISSN - 0424-267X
DOI - 10.24818/18423264/53.1.19.03
Subject(s) - markov chain , discrete time and continuous time , portfolio optimization , portfolio , mathematical optimization , variance (accounting) , mathematics , computer science , economics , statistics , financial economics , accounting