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

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

10.1109/TAC.2014.2370236

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Main Authors: He, Jing, Wang, Qing-Guo, Cheng, Peng, Chen, Jiming, Sun, Youxian
Other Authors: ELECTRICAL & COMPUTER ENGINEERING
Format: Article
Published: Institute of Electrical and Electronics Engineers Inc. 2016
Online Access:http://scholarbank.nus.edu.sg/handle/10635/123465
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Institution: National University of Singapore
id sg-nus-scholar.10635-123465
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spelling sg-nus-scholar.10635-1234652023-10-26T09:58:15Z Multi-Period Mean-Variance Portfolio Optimization with High-Order Coupled Asset Dynamics He, Jing Wang, Qing-Guo Cheng, Peng Chen, Jiming Sun, Youxian ELECTRICAL & COMPUTER ENGINEERING 10.1109/TAC.2014.2370236 IEEE Transactions on Automatic Control 60 5 1320-1335 2016-04-29T06:06:31Z 2016-04-29T06:06:31Z 2015 Article He, Jing, Wang, Qing-Guo, Cheng, Peng, Chen, Jiming, Sun, Youxian (2015). Multi-Period Mean-Variance Portfolio Optimization with High-Order Coupled Asset Dynamics. IEEE Transactions on Automatic Control 60 (5) : 1320-1335. ScholarBank@NUS Repository. https://doi.org/10.1109/TAC.2014.2370236 00189286 http://scholarbank.nus.edu.sg/handle/10635/123465 000353508100011 Institute of Electrical and Electronics Engineers Inc.
institution National University of Singapore
building NUS Library
continent Asia
country Singapore
Singapore
content_provider NUS Library
collection ScholarBank@NUS
description 10.1109/TAC.2014.2370236
author2 ELECTRICAL & COMPUTER ENGINEERING
author_facet ELECTRICAL & COMPUTER ENGINEERING
He, Jing
Wang, Qing-Guo
Cheng, Peng
Chen, Jiming
Sun, Youxian
format Article
author He, Jing
Wang, Qing-Guo
Cheng, Peng
Chen, Jiming
Sun, Youxian
spellingShingle He, Jing
Wang, Qing-Guo
Cheng, Peng
Chen, Jiming
Sun, Youxian
Multi-Period Mean-Variance Portfolio Optimization with High-Order Coupled Asset Dynamics
author_sort He, Jing
title Multi-Period Mean-Variance Portfolio Optimization with High-Order Coupled Asset Dynamics
title_short Multi-Period Mean-Variance Portfolio Optimization with High-Order Coupled Asset Dynamics
title_full Multi-Period Mean-Variance Portfolio Optimization with High-Order Coupled Asset Dynamics
title_fullStr Multi-Period Mean-Variance Portfolio Optimization with High-Order Coupled Asset Dynamics
title_full_unstemmed Multi-Period Mean-Variance Portfolio Optimization with High-Order Coupled Asset Dynamics
title_sort multi-period mean-variance portfolio optimization with high-order coupled asset dynamics
publisher Institute of Electrical and Electronics Engineers Inc.
publishDate 2016
url http://scholarbank.nus.edu.sg/handle/10635/123465
_version_ 1781789776882434048

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