Portfolio optimization in stochastic markets

Lifetime Portfolio Selection By Dynamic Stochastic Programming

Paul A. Samuelson · The Review of Economics and Statistics · 1969 · 1.7K citations

Business, Finance, Financial Management +14

Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework

Xun Yu Zhou, Duan Li · Applied Mathematics & Optimization · 2000 · 1.1K citations

Business, Finance, Financial Management +14

Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation

Duan Li, Wan‐Lung Ng · Mathematical Finance · 2000 · 1K citations

Business, Finance, Financial Management +17

Stochastic Processes for Insurance and Finance

Larry Y. Tzeng, Volker Schmidt, Hanspeter Schmidli et al. · Journal of Risk & Insurance · 2001 · 863 citations

Business, Finance, Insurance +12

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

Bernard Dumas, Elisa Luciano · The Journal of Finance · 1991 · 414 citations

Business, Economics, Finance +16