Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs (Q5299910): Difference between revisions

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Property / author: John E. Mitchell / rank
 
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Latest revision as of 13:15, 6 July 2024

scientific article; zbMATH DE number 6179992
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English
Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
scientific article; zbMATH DE number 6179992

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    Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs (English)
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    24 June 2013
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    portfolio optimization
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    transaction costs
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    market impact costs
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    rebalancing
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    conic optimization
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    convex optimization
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