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  • Search: subject:"Portfolio Networks"
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Year of publication
Subject
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DPT 2 DSP 2 brokerage fees 2 decision support 2 digital portfolio theory 2 digital signal processing 2 fixed commission costs 2 fixed trading costs 2 fixed transaction costs 2 industrial engineering 2 integer programming 2 investment analysis 2 portfolio selection 2 stochastic generalised portfolio networks 2 Asset Allocation 1 Digital Signal Processing 1 Finance 1 Financial investment 1 Foreign portfolio investment 1 Ganzzahlige Optimierung 1 Integer programming 1 Investment Diversification 1 Kapitalanlage 1 Mathematical programming 1 Mathematische Optimierung 1 Mixed Integer Programming 1 Portfolio Networks 1 Portfolio Optimization 1 Portfolio selection 1 Portfolio-Investition 1 Portfolio-Management 1 Theorie 1 Theory 1
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Undetermined 1
Type of publication
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Article 3
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Undetermined 2 English 1
Author
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Jones, C. Kenneth 3
Published in...
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European Journal of Industrial Engineering 2 Journal of mathematical finance 1
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RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
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Portfolio size in stochastic portfolio networks using digital portfolio theory
Jones, C. Kenneth - In: Journal of mathematical finance 3 (2013) 2, pp. 280-290
Persistent link: https://www.econbiz.de/10010239568
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Fixed trading costs, signal processing and stochastic portfolio networks
Jones, C. Kenneth - In: European Journal of Industrial Engineering 1 (2007) 1, pp. 5-21
In this study, we use zero-one variables to control fixed transaction costs independent of trade size in the portfolio selection problem. The optimal solution to the maximum flow, risk constrained stochastic portfolio network is found using Digital Portfolio Theory (DPT). Digital signals...
Persistent link: https://www.econbiz.de/10008563634
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Cover Image
Fixed trading costs, signal processing and stochastic portfolio networks
Jones, C. Kenneth - In: European Journal of Industrial Engineering 1 (2007) 1, pp. 5-21
In this study, we use zero-one variables to control fixed transaction costs independent of trade size in the portfolio selection problem. The optimal solution to the maximum flow, risk constrained stochastic portfolio network is found using Digital Portfolio Theory (DPT). Digital signals...
Persistent link: https://www.econbiz.de/10005553171
Saved in:
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