Better than classical and dynamic mean-variance policy.
Since Markowitz published his seminal work on mean-variance portfolio selection in 1952, almost all literatures in the past half century adhere their investigation to a binding budget spending assumption in static problem settings and a self financing assumption in dynamic settings. In the mean-vari...
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| Format: | Others |
| Language: | English Chinese |
| Published: |
2010
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| Online Access: | http://library.cuhk.edu.hk/record=b6074894 http://repository.lib.cuhk.edu.hk/en/item/cuhk-344527 |