Scaled and stable mean-variance-EVaR portfolio selection strategy with proportional transaction costs
Ebenezer Fiifi Emire Atta Mills, Bo Yu, Jie Yu
| Year of publication: |
August 2017
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|---|---|
| Authors: | Mills, Ebenezer Atta ; Yu, Bo ; Yu, Jie |
| Published in: |
Journal of business economics and management. - Vilnius : VTGU Press Technika, ISSN 1611-1699, ZDB-ID 2208925-1. - Vol. 18.2017, 4, p. 561-584
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| Subject: | Value-at-Risk | transaction costs | estimation risk | portfolio optimization | scaled and stabilized portfolio | downside risk | Portfolio-Management | Portfolio selection | Transaktionskosten | Transaction costs | Theorie | Theory | Risikomaß | Risk measure | Skalenertrag | Returns to scale | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3846/16111699.2017.1342272 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011780733