Constant rebalanced portfolio optimization under nonlinear transaction costs (Q538327)
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scientific article; zbMATH DE number 5899523
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Constant rebalanced portfolio optimization under nonlinear transaction costs |
scientific article; zbMATH DE number 5899523 |
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Constant rebalanced portfolio optimization under nonlinear transaction costs (English)
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25 May 2011
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multi-period portfolio optimization
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constant rebalancing
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transaction cost
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conditional value-at-risk
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market impact cost
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0.826967716217041
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0.8147462010383606
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0.8146386742591858
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0.8088981509208679
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