caa a22 4500 463169255 CHVBK 20180406164808.0 cr unu---uuuuu 170326e20070801xx s 000 0 eng 10.1007/s10957-007-9233-x doi (NATIONALLICENCE)springer-10.1007/s10957-007-9233-x Multiperiod Mean-Variance Optimization with Intertemporal Restrictions [Elektronische Daten] [O. Costa, R. Nabholz] We investigate mean-variance optimization problems that arise in portfolio selection. Restrictions on intermediate expected values or variances of the portfolio are considered. Some explicit procedures for obtaining the solution are presented. The main advantage of this technique is that it is possible to control the intermediate behavior of a portfolio's return or variance. Some examples illustrating these situations are presented. Springer Science+Business Media, LLC, 2007 Multiperiod optimization nationallicence Mean-variance analysis nationallicence Portfolio selection nationallicence Intermediate restrictions nationallicence Costa O. Departamento de Engenharia de Telecomunicações e Controle, Escola Politécnica da Universidade de São Paulo, Sao Paulo, SP, Brazil aut Nabholz R. Departamento de Engenharia de Telecomunicações e Controle, Escola Politécnica da Universidade de São Paulo, Sao Paulo, SP, Brazil aut Journal of Optimization Theory and Applications Springer US; http://www.springer-ny.com 134/2(2007-08-01), 257-274 0022-3239 134:2<257 2007 134 10957 https://doi.org/10.1007/s10957-007-9233-x text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s10957-007-9233-x text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Costa O. Departamento de Engenharia de Telecomunicações e Controle, Escola Politécnica da Universidade de São Paulo, Sao Paulo, SP, Brazil aut NATIONALLICENCE 700 1- Nabholz R. Departamento de Engenharia de Telecomunicações e Controle, Escola Politécnica da Universidade de São Paulo, Sao Paulo, SP, Brazil aut NATIONALLICENCE 773 0- Journal of Optimization Theory and Applications Springer US; http://www.springer-ny.com 134/2(2007-08-01), 257-274 0022-3239 134:2<257 2007 134 10957 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer