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Multi-Period Portfolio Optimization with Cone Constraints and Discrete Decisions

https://doi.org/10.2139/ssrn.2932567
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Scenario tree generation for multiperiod financial optimization by optimal discretization
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Second-order cone programming
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Convergence to isoelastic utility and policy in multiperiod portfolio choice
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A simple algorithm to incorporate transactions costs in quadratic optimisation
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THE ACCUMULATION OF RISKY CAPITAL: A SEQUENTIAL UTILITY ANALYSIS
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Multiperiod Consumption-Investment Decisions
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ON OPTIMAL MYOPIC PORTFOLIO POLICIES, WITH AND WITHOUT SERIAL CORRELATION OF YIELDS
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Multi-stage stochastic mean–semivariance–CVaR portfolio optimization under transaction costs
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Multi-objective heuristic algorithms for practical portfolio optimization and rebalancing with transaction cost
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Multi-period portfolio optimization with linear control policies
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Mean–variance portfolio selection with correlation risk
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Portfolio selection problem with Value-at-Risk constraints under non-extensive statistical mechanics
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Robust optimization of mixed CVaR STARR ratio using copulas
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Mean–variance portfolio selection under a non-Markovian regime-switching model
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Robust multiperiod portfolio management in the presence of transaction costs
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Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach
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Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
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The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion
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Multi-period mean–variance fuzzy portfolio optimization model with transaction costs
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Multi-period portfolio selection with dynamic risk/expected-return level under fuzzy random uncertainty
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Portfolio rebalancing with an investment horizon and transaction costs
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Simulation and optimization approaches to scenario tree generation
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Selecting Portfolios with Fixed Costs and Minimum Transaction Lots
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Mixed integer nonlinear programming using interior-point methods
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Revealed preferences for portfolio selection – does skewness matter?
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On Optimal Myopic Portfolio Policies, with and Without Serial Correlation of Yields
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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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An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs
inferredcites →https://doi.org/10.1287/educ.2013.0115openalex-extracted
Mixed-Integer Second-Order Cone Programming: A Survey
inferredcites →https://doi.org/10.1287/mnsc.38.11.1642openalex-extracted
Stochastic Network Programming for Financial Planning Problems
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Investment Strategies under Transaction Costs: The Finite Horizon Case
inferredcites →https://doi.org/10.1287/opre.1080.0599openalex-extracted
An Exact Solution Approach for Integer Constrained Portfolio Optimization Problems Under Stochastic Constraints
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THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
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Optimization of conditional value-at-risk
inferredcites →https://doi.org/10.2139/ssrn.975574openalex-extracted
An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
inferredcites →https://doi.org/10.2307/1909322openalex-extracted
The Accumulation of Risky Capital: A Sequential Utility Analysis
inferredcites →https://doi.org/10.2307/1910129openalex-extracted
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
inferredcites →https://doi.org/10.2307/1926559openalex-extracted
Lifetime Portfolio Selection By Dynamic Stochastic Programming
inferredcites →https://doi.org/10.2307/2330126openalex-extracted
Capital Growth and the Mean-Variance Approach to Portfolio Selection
inferredcites →https://doi.org/10.3386/w15205openalex-extracted
Dynamic Trading with Predictable Returns and Transaction Costs
inferredcites →https://doi.org/10.4337/9781035304998.00011openalex-extracted
Multistage Stochastic Mean-Variance Portfolio Analysis with Transaction Costs
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Optimal Multiperiod Portfolio Policies
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