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A computational scheme for optimal investment - consumption with proportional transaction costs

Muthuraman, Kumar - In: Journal of economic dynamics & control 31 (2007) 4, pp. 1132-1159

Persistent link: https://www.econbiz.de/10003443362

Multidimensional portfolio optimization with proportional transaction costs

Muthuraman, Kumar; Kumar, Sunil - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 301-335

Persistent link: https://www.econbiz.de/10003325969

A load factor based meanvariance analysis for fuel diversification

Gotham, Douglas; Muthuraman, Kumar; Preckel, Paul V.; … - In: Energy economics 31 (2009) 2, pp. 249-256

Persistent link: https://www.econbiz.de/10003832245

Simulation-based portfolio optimization for large portfolios with transaction costs

Muthuraman, Kumar; Zha, Haining - In: Mathematical finance : an international journal of … 18 (2008) 1, pp. 115-134

Persistent link: https://www.econbiz.de/10003643474

Portfolio Construction by Mitigating Error Amplification : The Bounded-Noise Portfolio

Zhao, Long - 2018

We address the problem of poor portfolio performance when a minimum-variance portfolio is constructed using the sample estimates. Estimation errors are mostly blamed for the poor portfolio performance. However, we argue that even small unbiased estimation errors can lead to significantly bad...

Persistent link: https://www.econbiz.de/10012933542

Portfolio construction by mitigating error amplification : the bounded-noise portfolio

Zhao, Long; Chakrabarti, Deepayan; Muthuraman, Kumar - In: Operations research 67 (2019) 4, pp. 965-983

Persistent link: https://www.econbiz.de/10012062850