VaR optimal portfolio with transaction costs
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Publication:427038
DOI10.1016/j.amc.2011.10.047zbMath1239.91150OpenAlexW2061217595MaRDI QIDQ427038
Andrea Rožnjik, Miles Kumaresan, Nataša Krejić
Publication date: 13 June 2012
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2011.10.047
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Cites Work
- Low order-value approach for solving var-constrained optimization problems
- A model for optimal execution of atomic orders
- A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
- Portfolio selection and transactions costs
- Order-value optimization: formulation and solution by means of a primal Cauchy method
- A sample-path approach to optimal position liquidation
- Portfolio optimization with linear and fixed transaction costs
- Nonlinear-programming reformulation of the order-value optimization problem
- Optimal security liquidation algorithms
- Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
- Coherent Measures of Risk
- Large scale portfolio optimization with piecewise linear transaction costs
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- On the global minimization of the value-at-risk
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