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Search: subject:"Constant rebalancing"
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Constant rebalancing
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Multi-period portfolio optimization
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Mean-variance criterion
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Semidefinite programming
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Sotirov, Renata
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Takano, Yuichi
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Gotoh, Jun-ya
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Takano, Y.
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Tilburg University, Center for Economic Research
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Asia-Pacific Financial Markets
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Computational Optimization and Applications
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A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection
Sotirov, Renata
;
Takano, Y.
-
Tilburg University, Center for Economic Research
-
2010
We address the multi-period portfolio optimization problem with the
constant
rebalancing
strategy. This problem is …
Persistent link: https://www.econbiz.de/10011092875
Saved in:
2
A polynomial optimization approach to constant rebalanced portfolio selection
Takano, Yuichi
;
Sotirov, Renata
- In:
Computational Optimization and Applications
52
(
2012
)
3
,
pp. 645-666
We address the multi-period portfolio optimization problem with the
constant
rebalancing
strategy. This problem is …
Persistent link: https://www.econbiz.de/10010847454
Saved in:
3
Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs
Takano, Yuichi
;
Gotoh, Jun-ya
- In:
Asia-Pacific Financial Markets
18
(
2011
)
2
,
pp. 191-211
Persistent link: https://www.econbiz.de/10009150532
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