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Single- and Multi-Period Portfolio Optimization with Cone Constraints and Discrete Decisions

https://doi.org/10.2139/ssrn.2820294

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Outgoing claims: the papers this work cites, builds on, or argues with.

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LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING

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OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966.

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Multi-period portfolio optimization with linear control policies

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Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach

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Dynamic mean–variance portfolio selection with borrowing constraint

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Multi-horizon Markowitz portfolio performance appraisals: A general approach☆

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Portfolio rebalancing with an investment horizon and transaction costs

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Applications of second-order cone programming

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Simulation and optimization approaches to scenario tree generation

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Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones

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Revealed preferences for portfolio selection – does skewness matter?

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On the Optimality of Some Multiperiod Portfolio Selection Criteria

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Testing for Mean‐Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets

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Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation

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PORTFOLIO SELECTION*

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MULTI‐PERIOD MEAN‐VARIANCE ANALYSIS: TOWARD A GENERAL THEORY OF PORTFOLIO CHOICE*

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A BAYESIAN MODEL FOR PORTFOLIO SELECTION AND REVISION

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An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs

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Dynamic Trading with Predictable Returns and Transaction Costs

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Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis

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Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints

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Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model

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Mixed-Integer Second-Order Cone Programming: A Survey

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Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds

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Stochastic Network Programming for Financial Planning Problems

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Mean-Variance Portfolio Selection with Random Parameters in a Complete Market

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An Exact Solution Approach for Integer Constrained Portfolio Optimization Problems Under Stochastic Constraints

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An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints

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The Accumulation of Risky Capital: A Sequential Utility Analysis

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An Automatic Method of Solving Discrete Programming Problems

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Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions

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Lifetime Portfolio Selection By Dynamic Stochastic Programming

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Capital Growth and the Mean-Variance Approach to Portfolio Selection

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Dynamic Trading with Predictable Returns and Transaction Costs

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Optimal Multiperiod Portfolio Policies

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