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

ZHOU Zhongbao, LIU Xianghui, XIAO Helu, LIU Wenbin

Journal of System Science and Mathematical Science Chinese Series ›› 2018, Vol. 38 ›› Issue (9) : 1018-1035.

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中国科学院数学与系统科学研究院期刊网
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Journal of System Science and Mathematical Science Chinese Series ›› 2018, Vol. 38 ›› Issue (9) : 1018-1035. DOI: 10.12341/jssms13435

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

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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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