Asset allocation with distorted beliefs and transaction costs

DOI10.1016/j.ejor.2007.12.002zbMath1158.91382OpenAlexW2077345148MaRDI QIDQ953450

Wolfgang Schmid, Roman Kozhan

Publication date: 20 November 2008

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2007.12.002

zbMATH Keywords

transaction costsKnightian uncertaintydistortion functionasset allocation

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

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