A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT (Q3560104)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 5709694
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT |
scientific article; zbMATH DE number 5709694 |
Statements
A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT (English)
0 references
19 May 2010
0 references
maximal predictability portfolio
0 references
factor model
0 references
nonconvex minimization problem
0 references
absolute deviation
0 references
\(0-1\) integer programming
0 references
turnover constraint
0 references
transaction cost
0 references
0 references
0.91066885
0 references
0.9071677
0 references
0.8878612
0 references
0.87889445
0 references
0.8558928
0 references
0.8554845
0 references
0.8550756
0 references
0.85188675
0 references
0.8517581
0 references
0 references
