Log-robust portfolio management after transaction costs

DOI10.1007/s00291-013-0322-yzbMath1290.91150OpenAlexW2013352210MaRDI QIDQ2454357

Yuntaek Pae, Navid Sabbaghi

Publication date: 13 June 2014

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00291-013-0322-y

zbMATH Keywords

transaction costsrobust portfolio optimization

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Robust portfolio optimization: a categorized bibliographic review ⋮ Recent advancements in robust optimization for investment management ⋮ A robust asset-liability management framework for investment products with guarantees ⋮ Log-robust portfolio management after transaction costs ⋮ Fuzzy multi-objective portfolio model based on semi-variance--semi-absolute deviation risk measures

Cites Work

• A log-robust optimization approach to portfolio management
• Robust multiperiod portfolio management in the presence of transaction costs
• Log-robust portfolio management after transaction costs
• Portfolio optimization with linear and fixed transaction costs
• A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs
• Investment Strategies under Transaction Costs: The Finite Horizon Case