Stochastic portfolio optimization with proportional transaction costs: Convex reformulations and computational experiments
| Year of publication: |
2012
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|---|---|
| Authors: | Filomena, Tiago P. ; Lejeune, Miguel A. |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 7207359. - Vol. 40.2012, 3, p. 212-218
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