Robust strategy of dynamic portfolio with transaction cost (Q5498094)
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scientific article; zbMATH DE number 6402050
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| English | Robust strategy of dynamic portfolio with transaction cost |
scientific article; zbMATH DE number 6402050 |
Statements
11 February 2015
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mean-variance model
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portfolio optimization
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tracking error
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robust
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transaction cost
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0.8136499524116516
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0.8036053776741028
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0.7996946573257446
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