Constant rebalanced portfolio optimization under nonlinear transaction costs (Q538327): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / Mathematics Subject Classification ID: 91B30 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 5899523 / rank | |||
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| Property / zbMATH Keywords | |||
multi-period portfolio optimization | |||
| Property / zbMATH Keywords: multi-period portfolio optimization / rank | |||
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constant rebalancing | |||
| Property / zbMATH Keywords: constant rebalancing / rank | |||
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transaction cost | |||
| Property / zbMATH Keywords: transaction cost / rank | |||
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conditional value-at-risk | |||
| Property / zbMATH Keywords: conditional value-at-risk / rank | |||
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market impact cost | |||
| Property / zbMATH Keywords: market impact cost / rank | |||
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Revision as of 09:35, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Constant rebalanced portfolio optimization under nonlinear transaction costs |
scientific article |
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Constant rebalanced portfolio optimization under nonlinear transaction costs (English)
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25 May 2011
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multi-period portfolio optimization
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constant rebalancing
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transaction cost
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conditional value-at-risk
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market impact cost
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