Constant rebalanced portfolio optimization under nonlinear transaction costs
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Publication:538327
DOI10.1007/S10690-010-9130-4zbMATH Open1278.91152OpenAlexW2059456594MaRDI QIDQ538327FDOQ538327
Authors: Yuichi Takano, Jun-Ya Gotoh 
Publication date: 25 May 2011
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2241/103903
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conditional value-at-risktransaction costconstant rebalancingmarket impact costmulti-period portfolio optimization
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Cited In (9)
- Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
- Rebalancing with Linear and Quadratic Costs
- A polynomial optimization approach to constant rebalanced portfolio selection
- A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts
- Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
- Amortized constant relaxed rebalancing using standard rotations
- Rebalance schedule optimization of a large scale portfolio under transaction cost
- Computing optimal rebalance frequency for log-optimal portfolios in linear time
- Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs
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