Please use this identifier to cite or link to this item:
https://doi.org/10.1109/TAC.2014.2370236
| Title: | Multi-Period Mean-Variance Portfolio Optimization with High-Order Coupled Asset Dynamics | Authors: | He, Jing Wang, Qing-Guo Cheng, Peng Chen, Jiming Sun, Youxian |
Issue Date: | 2015 | Publisher: | Institute of Electrical and Electronics Engineers Inc. | Citation: | 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 | Source Title: | IEEE Transactions on Automatic Control | URI: | http://scholarbank.nus.edu.sg/handle/10635/123465 | ISSN: | 00189286 | DOI: | 10.1109/TAC.2014.2370236 |
| Appears in Collections: | Staff Publications |
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