Multi-period mean-variance portfolio optimization with management fees

Xiangyu Cui, Jianjun Gao 0001, Yun Shi. Multi-period mean-variance portfolio optimization with management fees. Operational Research, 21(2):1333-1354, 2021. [doi]

Authors

Xiangyu Cui

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Jianjun Gao 0001

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Yun Shi

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