2 papers
q-fin.PM2026
On Reference-Regulated Multiperiod Mean-Variance Portfolio Optimization in High Dimensions
Yutao Deng, Jianjun Gao, Weichen Wang
The multiperiod mean-variance (MV) portfolio optimization serves as a vital expansion of Markowitz's static MV portfolio selection framework. Just like its static counterpart, the…
q-fin.PM2025
Dynamic Factor Model-Based Multiperiod Mean-Variance Portfolio Selection with Portfolio Constraints
Jianjun Gao, Chengneng Jin, Yun Shi +1
Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This…