Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments (Q439922)
From MaRDI portal
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
