Mean-variance-skewness model for portfolio selection with transaction costs
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Publication:3044157
DOI10.1080/0020772031000158492zbMath1074.91533OpenAlexW4246176696MaRDI QIDQ3044157
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Publication date: 10 August 2004
Published in: International Journal of Systems Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/0020772031000158492
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Cites Work
- Multi-stage stochastic linear programs for portfolio optimization
- A mean-absolute deviation-skewness portfolio optimization model
- Large-Scale Portfolio Optimization
- A linear programming algorithm for optimal portfolio selection with transaction costs
- A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs
- Stochastic Network Programming for Financial Planning Problems
- Investment Strategies under Transaction Costs: The Finite Horizon Case
- Portfolio Analysis in a Stable Paretian Market
- The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
- Unnamed Item
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