Models and simulations for portfolio rebalancing (Q1038764): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10614-008-9158-y
+Normal rank
@@ Property / OpenAlex ID @@
+W2089896711
@@ Property / OpenAlex ID: W2089896711 / rank @@
+Normal rank
@@ Property / cites work @@
+Credit risk optimization with conditional Value-at-Risk criterion
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Semi-absolute deviation rule for mutual funds portfolio selection
+Normal rank
@@ Property / cites work @@
+Investment Strategies under Transaction Costs: The Finite Horizon Case
+Normal rank
@@ Property / cites work @@
+Selecting portfolios with fixed costs and minimum transaction lots
+Normal rank
@@ Property / cites work @@
+Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+A linear programming algorithm for optimal portfolio selection with transaction costs
+Normal rank
@@ Property / cites work @@
+Optimal portfolio selection of assets with transaction costs and no short sales
+Normal rank
@@ Property / cites work @@
+LP solvable models for portfolio optimization: a classification and computational comparison
+Normal rank
@@ Property / cites work @@
+Conditional value at risk and related linear programming models for portfolio optimization
+Normal rank
@@ Property / cites work @@
+Dual Stochastic Dominance and Related Mean-Risk Models
+Normal rank
@@ Property / cites work @@
+A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs
+Normal rank
@@ Property / cites work @@
+Q2724706
@@ Property / cites work: Q2724706 / rank @@
+Normal rank
@@ Property / cites work @@
+Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
+Normal rank
@@ Property / cites work @@
+THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
+Normal rank
@@ Property / cites work @@
+A Minimax Portfolio Selection Rule with Linear Programming Solution
+Normal rank