Pages that link to "Item:Q4673731"
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The following pages link to Multi‐asset portfolio optimization with transaction cost (Q4673731):
Displayed 13 items.
- A linearized value-at-risk model with transaction costs and short selling (Q320109) (← links)
- Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models (Q1725616) (← links)
- Optimal asset--liability management with constraints: A dynamic programming approach (Q2489174) (← links)
- Building an Optimal Portfolio in Discrete Time in the Presence of Transaction Costs (Q2786210) (← links)
- HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS (Q2814667) (← links)
- Portfolio Choice with Transaction Costs: A User’s Guide (Q2847837) (← links)
- NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING (Q2970319) (← links)
- Hedging Under an Expected Loss Constraint with Small Transaction Costs (Q3188153) (← links)
- Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case (Q3467559) (← links)
- Optimization of<i>N</i>-risky asset portfolios with stochastic variance and transaction costs (Q3568909) (← links)
- Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis (Q4610209) (← links)
- General indifference pricing with small transaction costs (Q5278183) (← links)
- An omega portfolio model with dynamic return thresholds (Q6079993) (← links)