Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments (Q439922): Difference between revisions
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| Property / Mathematics Subject Classification ID: 90C15 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / zbMATH DE Number: 6067696 / rank | |||
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stochastic portfolio optimization | |||
| Property / zbMATH Keywords: stochastic portfolio optimization / rank | |||
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probabilistic Markowitz | |||
| Property / zbMATH Keywords: probabilistic Markowitz / rank | |||
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transaction costs | |||
| Property / zbMATH Keywords: transaction costs / rank | |||
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stochastic programming | |||
| Property / zbMATH Keywords: stochastic programming / rank | |||
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estimation risk | |||
| Property / zbMATH Keywords: estimation risk / rank | |||
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Revision as of 01:49, 30 June 2023
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)
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17 August 2012
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stochastic portfolio optimization
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probabilistic Markowitz
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transaction costs
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stochastic programming
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estimation risk
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