Periodic portfolio revision with transaction costs
DOI10.1007/s00186-015-0500-6zbMath1320.91135OpenAlexW2132475165MaRDI QIDQ2354016
Publication date: 10 July 2015
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-015-0500-6
performance measuresportfolio optimizationtransaction costsrisk measurestempered stable distributions
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Economic time series analysis (91B84) Portfolio theory (91G10)
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Cites Work
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