Advancement of optimal portfolio models with short sales and transaction costs : methodology and effectiveness
Paul W. Chiou and Jing-Rung Yu
| Year of publication: |
2024
|
|---|---|
| Authors: | Chiou, Wan-jiun Paul ; Yu, Jing-Rung |
| Published in: |
Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 4. - New Jersey : World Scientific, ISBN 978-981-12-6325-5. - 2024, p. 3387-3410
|
| Subject: | Portfolio selection | Conditional value-at-risk model | Value-at-risk model | Omega model | Transaction costs | Short selling | Theorie | Theory | Portfolio-Management | Transaktionskosten | Risikomaß | Risk measure | Leerverkauf |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1142/9789811269943_0103 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015050077