Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments (Q439922)
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scientific article; zbMATH DE number 6067696
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| English | Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments |
scientific article; zbMATH DE number 6067696 |
Statements
Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments (English)
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17 August 2012
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stochastic portfolio optimization
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probabilistic Markowitz
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transaction costs
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stochastic programming
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estimation risk
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0.8479877710342407
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0.8361464738845825
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0.8206039071083069
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0.815274715423584
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