Constructing optimal portfolio rebalancing strategies with a two-stage multiresolution-grid model
Tian-Shyr Dai, Bo-Jen Chen, You-Jia Sun, Dong-Yuh Yang, Mu-En Wu
| Year of publication: |
2024
|
|---|---|
| Authors: | Dai, Tian-Shyr ; Chen, Bo-Jen ; Sun, You-Jia ; Yang, Dong-Yuh ; Wu, Mu-En |
| Subject: | Bellman equation | Dynamic programming | Portfolio rebalancing | Tracking errors | Transactional costs | Portfolio-Management | Portfolio selection | Theorie | Theory | Transaktionskosten | Transaction costs | Mathematische Optimierung | Mathematical programming | Dynamische Optimierung |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-024-10555-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015144113