Portfolio optimization with transaction costs: a two-period mean-variance model
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Publication:889558
DOI10.1007/s10479-014-1574-xzbMath1358.91093OpenAlexW1994312169MaRDI QIDQ889558
Ying Hui Fu, Boray Huang, Kien Ming Ng, Huei-Chuen Huang
Publication date: 9 November 2015
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-014-1574-x
Related Items (4)
Joint tails impact in stochastic volatility portfolio selection models ⋮ Input Demand Under Joint Energy and Output Prices Uncertainties ⋮ A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint ⋮ Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
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