Risk constraints for portfolio optimization with fixed-fee transaction cost
Michael J. Hirsch and Nicole Navarro
| Year of publication: |
March 2017
|
|---|---|
| Authors: | Hirsch, Michael J. ; Navarro, Nicole |
| Published in: |
The journal of investment strategies. - London : Infopro Digital, ISSN 2047-1238, ZDB-ID 2889641-5. - Vol. 6.2017, 2, p. 91-112
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| Subject: | financial optimization | portfolio allocation | conditional value-at-risk (CVaR) | mean absolute deviation | transaction costs | Portfolio-Management | Portfolio selection | Transaktionskosten | Transaction costs | Risikomaß | Risk measure | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOIS.2017.082 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011668136