Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
From MaRDI portal
Publication:6158404
DOI10.1080/14697688.2022.2145231zbMath1518.91247MaRDI QIDQ6158404
Publication date: 20 June 2023
Published in: Quantitative Finance (Search for Journal in Brave)
portfolio optimizationtransaction coststime consistency in efficiencydiscrete-time multi-period optimizationno-shorting constraints
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