Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments (Q439922): Difference between revisions
From MaRDI portal
Latest revision as of 13:21, 5 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments |
scientific article |
Statements
Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments (English)
0 references
17 August 2012
0 references
stochastic portfolio optimization
0 references
probabilistic Markowitz
0 references
transaction costs
0 references
stochastic programming
0 references
estimation risk
0 references
0 references
0 references
0 references