Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs (Q5299910)
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scientific article; zbMATH DE number 6179992
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs |
scientific article; zbMATH DE number 6179992 |
Statements
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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