{"title":"跨期约束下的多周期均值方差投资组合优化","authors":"O. Costa, R. B. Nabholz","doi":"10.23919/ECC.2007.7068550","DOIUrl":null,"url":null,"abstract":"In this paper we investigate mean variance optimization problems that arise in portfolio selection. Restrictions on intermediate expected values or variances of the portfolio are considered in the optimization problem. Some explicit procedures for obtaining the solution of the problems are presented. The main advantage of this technique is that it is possible to control the intermediate behavior of a portfolio's return or variance. Some examples illustrating these situations are presented.","PeriodicalId":407048,"journal":{"name":"2007 European Control Conference (ECC)","volume":"208 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2007-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Multi-period mean-variance portfolio optimization with intertemporal constraints\",\"authors\":\"O. Costa, R. B. Nabholz\",\"doi\":\"10.23919/ECC.2007.7068550\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper we investigate mean variance optimization problems that arise in portfolio selection. Restrictions on intermediate expected values or variances of the portfolio are considered in the optimization problem. Some explicit procedures for obtaining the solution of the problems are presented. The main advantage of this technique is that it is possible to control the intermediate behavior of a portfolio's return or variance. Some examples illustrating these situations are presented.\",\"PeriodicalId\":407048,\"journal\":{\"name\":\"2007 European Control Conference (ECC)\",\"volume\":\"208 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2007-07-02\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2007 European Control Conference (ECC)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.23919/ECC.2007.7068550\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2007 European Control Conference (ECC)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.23919/ECC.2007.7068550","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Multi-period mean-variance portfolio optimization with intertemporal constraints
In this paper we investigate mean variance optimization problems that arise in portfolio selection. Restrictions on intermediate expected values or variances of the portfolio are considered in the optimization problem. Some explicit procedures for obtaining the solution of the problems are presented. The main advantage of this technique is that it is possible to control the intermediate behavior of a portfolio's return or variance. Some examples illustrating these situations are presented.