1 See Chapter 1 in John L. Maginn and Donald L. Tuttle (eds.), Managing Investment Portfolios: A Dynamic Process, 2nd ed. (New York: Warren, Gorham & Lamont, 1990).
2 Harry M. Markowitz, “Portfolio Theory,” Journal of Finance 7, no. 1 (1952): 77–91.
3 Multiperiod portfolio optimization models are still rarely used in practice, not because the value of multiperiod modeling is questioned, but because such models are often too intractable from a computational perspective.
4 As the term intuitively implies, the ADV measures the total amount of a given asset traded in a day on average, where the average is taken over a prespecified time period.
5 R. Tyrell Rockafellar and Stanislav Uryasev, ...