A new portfolio rebalancing model with transaction costs

DOI10.1155/2014/942374zbMath1442.91093OpenAlexW1988678364WikidataQ59054393 ScholiaQ59054393MaRDI QIDQ2336854

Honggang Xue, Meihua Wang, Cheng Li, Feng-Min Xu

Publication date: 19 November 2019

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/942374

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

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• Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs

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