Asymptotic analysis for target asset portfolio allocation with small transaction costs
Year of publication: |
2016
|
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Authors: | Liu, Cong ; Zheng, Harry |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 66.2016, p. 59-68
|
Subject: | Target asset portfolio allocation | Tracking error | Proportional transaction costs | Magnus expansion | Asymptotic analysis | Transaktionskosten | Transaction costs | Portfolio-Management | Portfolio selection | Theorie | Theory |
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