Time cardinality constrained mean–variance dynamic portfolio selection and market timing: A stochastic control approach

Published 2015 View Full Article

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Title
Time cardinality constrained mean–variance dynamic portfolio selection and market timing: A stochastic control approach
Authors
Keywords
Multi-period portfolio selection, Multi-period mean–variance formulation, Stochastic control, Cardinality constraint, Market timing
Journal
AUTOMATICA
Volume 54, Issue -, Pages 91-99
Publisher
Elsevier BV
Online
2015-02-17
DOI
10.1016/j.automatica.2015.01.040

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