Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs
| Year of publication: |
2011
|
|---|---|
| Authors: | Takano, Yuichi ; Gotoh, Jun-ya |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 18.2011, 2, p. 191-211
|
| Publisher: |
Springer |
| Subject: | Multi-period portfolio optimization | Constant rebalancing | Transaction cost | Conditional value-at-risk | Market impact cost |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009150532