Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
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Publication:439922
DOI10.1016/j.orl.2012.01.003zbMath1245.90074MaRDI QIDQ439922
Miguel A. Lejeune, Tiago Pascoal Filomena
Publication date: 17 August 2012
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2012.01.003
stochastic programming; transaction costs; estimation risk; probabilistic Markowitz; stochastic portfolio optimization
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