A dynamic mean-variance analysis for log returns

Min Dai, Hanqing Jin, Steven Kou, Yuhong Xu

Research output: Journal article publication › Journal article › Academic research › peer-review

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@article{c4042f82c17245528c414024a579a6cb,

title = "A dynamic mean-variance analysis for log returns",

author = "Min Dai and Hanqing Jin and Steven Kou and Yuhong Xu",

year = "2021",

month = feb,

doi = "https://doi.org/10.1287/mnsc.2019.3493",

language = "English",

volume = "67",

pages = "1093--1108",

journal = "Management Science",

issn = "0025-1909",

publisher = "INFORMS Institute for Operations Research and the Management Sciences",

number = "2",

}