Multi-Period Mean-Variance Portfolio Optimization With High-Order Coupled Asset Dynamics

Jianping He, Qing-Guo Wang, Peng Cheng, Jiming Chen, Youxian Sun. Multi-Period Mean-Variance Portfolio Optimization With High-Order Coupled Asset Dynamics. IEEE Trans. Automat. Contr., 60(5):1320-1335, 2015. [doi]

Abstract

Abstract is missing.