Multi-period Mean-semivariance Portfolio Selection with Minimum Transaction Lots Constraints
ZHANG Peng1, ZHANG Wei-Guo2, ZHANG Yi-fei3
1. School of Economics, Wuhan University of Technology, Wuhan 430070, China;
2. School of Business Administration, South China University of Technology, Guangzhou 510641, China;
3. School of Management, Wuhan University of Science and Technology, Wuhan 430081, China