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Stochastic portfolio optimization with proportional transaction costs: Convex reformulations and computational experiments
Filomena, Tiago P.; Lejeune, Miguel A. - In: Operations research letters 40 (2012) 3, pp. 212-218
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009848579
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Stochastic portfolio optimization with proportional transaction costs : convex reformulations and computational experiments
Filomena, Tiago P.; Lejeune, Miguel A. - In: Operations research letters 40 (2012) 3, pp. 212-217
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009546517
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A distributionally robust area under curve maximization model
Ma, Wenbo; Lejeune, Miguel A. - In: Operations research letters 48 (2020) 4, pp. 460-466
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012294791