Asset allocation with correlation: a composite trade-off

DOI10.1016/j.ejor.2017.04.015zbMath1375.90147OpenAlexW2607455059MaRDI QIDQ1683161

Rachael Carroll, John Cotter, Thomas Conlon, Enrique Salvador

Publication date: 6 December 2017

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2017.04.015

zbMATH Keywords

optimizationdecision analysisasset allocationdynamic correlationrebalancing and transaction costs

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

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