Modifying sequential Monte Carlo optimisation for index tracking to allow for transaction costs
Year of publication: |
2024
|
---|---|
Authors: | Hamilton-Russell, Leila ; Malan O’Callaghan, Thomas ; Savin, Dmitrii ; Schlögl, Erik |
Subject: | index tracking | sequential Monte Carlo | transaction costs | portfolio management | Portfolio-Management | Portfolio selection | Transaktionskosten | Transaction costs | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation |
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