Parameter uncertainty in multiperiod portfolio optimization with transaction costs
Victor DeMiguel, Alberto Martín-Utrera, and Francisco J. Nogales
| Year of publication: |
December 2015
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|---|---|
| Authors: | DeMiguel, Victor ; Martín-Utrera, Alberto ; Nogales, Francisco J. |
| Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 50.2015, 6, p. 1443-1471
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| Subject: | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Kapitalmarktrendite | Capital market returns | Transaktionskosten | Transaction costs | Schätzung | Estimation | Welt | World | 2004-2012 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S002210901500054X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011479445