Multiperiod portfolio optimization with multiple risky assets and general transaction costs
Xiaoling Mei, Victor DeMiguel, Francisco J. Nogales
| Year of publication: |
August 2016
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|---|---|
| Authors: | Mei, Xiaoling ; DeMiguel, Victor ; Nogales, Francisco J. |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 69.2016, p. 108-120
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| Subject: | Portfolio optimization | Multiperiod utility | No-trade region | Market impact | Portfolio-Management | Portfolio selection | Transaktionskosten | Transaction costs | Theorie | Theory | Risiko | Risk | Nutzenfunktion | Utility function | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2016.04.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011635053