Multi-period mean-variance portfolio optimization with intertemporal constraints (2007)
- Authors:
- Autor USP: COSTA, OSWALDO LUIZ DO VALLE - EP
- Unidade: EP
- Subjects: PROCESSOS DE MARKOV; SISTEMAS LINEARES
- Language: Inglês
- Imprenta:
- Publisher: European Union Control Association
- Publisher place: Sl
- Date published: 2007
- Source:
- Título: Proceedings: ECC 2007
- Conference titles: European Control Conference
-
ABNT
COSTA, Oswaldo Luiz do Valle e NABHOLZ, Rodrigo de Barros. Multi-period mean-variance portfolio optimization with intertemporal constraints. 2007, Anais.. Sl: European Union Control Association, 2007. . Acesso em: 15 mar. 2026. -
APA
Costa, O. L. do V., & Nabholz, R. de B. (2007). Multi-period mean-variance portfolio optimization with intertemporal constraints. In Proceedings: ECC 2007. Sl: European Union Control Association. -
NLM
Costa OL do V, Nabholz R de B. Multi-period mean-variance portfolio optimization with intertemporal constraints. Proceedings: ECC 2007. 2007 ;[citado 2026 mar. 15 ] -
Vancouver
Costa OL do V, Nabholz R de B. Multi-period mean-variance portfolio optimization with intertemporal constraints. Proceedings: ECC 2007. 2007 ;[citado 2026 mar. 15 ] - Sampled control for mean-variance hedging in a jump diffusion financial market
- Impulse control of piecewise deterministic systems
- Generalized mean-variance portfolio selection model with regime switching
- On the discrete-time infinite cooupled riccati equations which arises in a certain optimal control problem
- Suboptimal and static output feedback control of hidden Markov jump linear systems
- Sampled control for mean-variance hedging in a jump diffusion financial market
- State feedback H∞ control for discrete-time infinite-dimensional stochastic bilinear systems
- Discretizations for the average impulse control of piecewise deterministic processes
- A note on stochastic stability for linear systems with jumping parameters
- Asymptotic convergence for the average impulse control of piecewise deterministic processes
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