Intertemporal constrained portfolio optimization problem with tracking-error

Mitigating portfolio risk and enhancing performance are key goals in portfolio optimization. Investors prioritize the long-term implications of wealth accumulation and the benchmark strategies employed to mitigate risk. This paper presents a multi-period mean-variance model which includes intertempo...

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Bibliographic Details

Published in:	Applied Mathematics in Science and Engineering
Main Authors:	Qitong Pan, Yu Lin, Jiaying Wu, Jijun Zhong
Format:	Article
Language:	English
Published:	Taylor & Francis Group 2025-12-01
Subjects:	Portfolio optimization mean-variance tracking-error intertemporal constraints dynamic programming 93-10
Online Access:	https://www.tandfonline.com/doi/10.1080/27690911.2025.2463456