Time-varying mean–variance portfolio selection problem solving via LVI-PDNN

Volume: 138, Pages: 105582 - 105582
Published: Feb 1, 2022
Abstract
It is widely acclaimed that the Markowitz mean–variance portfolio selection is a very important investment strategy. One approach to solving the static mean–variance portfolio selection (MVPS) problem is based on the usage of quadratic programming (QP) methods. In this article, we define and study the time-varying mean–variance portfolio selection (TV-MVPS) problem both in the cases of a fixed target portfolio’s expected return and for all...
Paper Details
Title
Time-varying mean–variance portfolio selection problem solving via LVI-PDNN
Published Date
Feb 1, 2022
Volume
138
Pages
105582 - 105582
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