Multi-period portfolio optimisation with alpha decay
Kartik Sivaramakrishnan, Vishv Jeet, Dieter Vandenbussche
| Year of publication: |
2018
|
|---|---|
| Authors: | Sivaramakrishnan, Kartik ; Jeet, Vishv ; Vandenbussche, Dieter |
| Published in: |
International journal of financial engineering and risk management. - Olney : Inderscience, ISSN 2049-0909, ZDB-ID 2735250-X. - Vol. 2.2018, 4, p. 283-307
|
| Subject: | multi-period portfolio optimisation | mean-variance optimisation | alpha decay | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012000022