Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments (Q439922)

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Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
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    Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments (English)
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    17 August 2012
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    stochastic portfolio optimization
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    probabilistic Markowitz
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    transaction costs
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    stochastic programming
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    estimation risk
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