Constant rebalanced portfolio optimization under nonlinear transaction costs
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Publication:538327
DOI10.1007/s10690-010-9130-4zbMath1278.91152MaRDI QIDQ538327
Publication date: 25 May 2011
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2241/103903
transaction cost; conditional value-at-risk; constant rebalancing; market impact cost; multi-period portfolio optimization
91G10: Portfolio theory
Related Items
Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs, A polynomial optimization approach to constant rebalanced portfolio selection
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