Constant rebalanced portfolio optimization under nonlinear transaction costs

DOI10.1007/s10690-010-9130-4zbMath1278.91152OpenAlexW2059456594MaRDI QIDQ538327

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

zbMATH Keywords

transaction costconditional value-at-riskconstant rebalancingmarket impact costmulti-period portfolio optimization

Mathematics Subject Classification ID

Related Items (2)

Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs ⋮ A polynomial optimization approach to constant rebalanced portfolio selection

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