Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
Chi Seng Pun and Zi Ye
| Year of publication: |
2023
|
|---|---|
| Authors: | Pun, Chi Seng ; Ye, Zi |
| Subject: | Discrete-time multi-period optimization | No-shorting constraints | Portfolio optimization | Time consistency in efficiency | Transaction costs | Portfolio-Management | Portfolio selection | Theorie | Theory | Transaktionskosten | Zeitkonsistenz | Time consistency | Mathematische Optimierung | Mathematical programming | Zeit | Time | Effizienz | Efficiency |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2145231 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014232651