Optimal rebalancing of portfolios with transaction costs
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Publication:5411910
DOI10.1080/17442508.2011.651219zbMath1285.91118OpenAlexW2168422934MaRDI QIDQ5411910
Publication date: 25 April 2014
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2011.651219
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Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio management with transaction costs
- SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS
- Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
- A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
- Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs
- On an Investment-Consumption Model with Transaction Costs
- MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
- Portfolio Selection with Transaction Costs
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