Multi-Period Mean-Variance Portfolio Optimization Based on the Linear Feedback Strategy

ZHOU Zhongbao, LIU Xianghui, XIAO Helu, LIU Wenbin

Journal of Systems Science and Mathematical Sciences ›› 2018, Vol. 38 ›› Issue (9) : 1018-1035.

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Journal of Systems Science and Mathematical Sciences ›› 2018, Vol. 38 ›› Issue (9) : 1018-1035. DOI: 10.12341/jssms13435

Multi-Period Mean-Variance Portfolio Optimization Based on the Linear Feedback Strategy

  • ZHOU Zhongbao1 ,LIU Xianghui1 ,XIAO Helu2 ,LIU Wenbin3
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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2018, 38(9): 1018-1035 https://doi.org/10.12341/jssms13435

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