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~subject:"Transaktionskosten"
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Transaktionskosten
Mathematical programming
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Conditional value-at-risk
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Takano, Yuichi
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Mizuno, Shinji
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Asia-Pacific financial markets
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Computational Management Science : CMS
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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/10009237739
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Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs
Takano, Yuichi
;
Nanjo, Keisuke
;
Sukegawa, Noriyoshi
; …
- In:
Computational Management Science : CMS
12
(
2015
)
2
,
pp. 319-340
Persistent link: https://www.econbiz.de/10010513407
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