Portfolio selection with transaction costs under expected shortfall constraints
| Year of publication: |
2008
|
|---|---|
| Authors: | Breuer, Thomas ; Jandačka, Martin |
| Published in: |
Computational Management Science. - Springer. - Vol. 5.2008, 4, p. 305-316
|
| Publisher: |
Springer |
| Subject: | Portfolio selection | Transaction costs | Multiperiod risk measures | Stochastic programming |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005596538