Portfolio analysis with transaction costs under uncertainty

DOI10.1007/S10958-016-2754-9MaRDI QIDQ267615zbMATH OpenOpenAlexFDO

Authors M. S. Al-Nator, S. V. Al-Nator, Yu. F. Kasimov

Publication date 11 April 2016

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-016-2754-9

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Dynamic management of portfolios with transaction costs under tychastic uncertainty
• Large-scale portfolio allocation under transaction costs and model uncertainty
• Portfolio selection with transaction costs
• Portfolio Selection with Transaction Costs
• scientific article; zbMATH DE number 797369
• Portfolio selection with transaction costs under expected shortfall constraints
• A method for portfolio choice with transaction costs
• Uncertain portfolio selection model considering transaction costs and minimum transaction lots requirement
• scientific article; zbMATH DE number 1895622
• Portfolio management with transaction costs

Cites work

• Portfolio optimization with linear and fixed transaction costs

Cited in

(3)

• Portfolio analysis with general commission
• The formation of the optimal portfolio in the transient period
• Multi-period portfolio management and a simple method for calculating the realized return with transaction costs

This page was built for publication: Portfolio analysis with transaction costs under uncertainty

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q267615)