High-dimensional portfolio optimization with transaction costs
Mark Broadie (Graduate School of Business, Columbia University, New York, NY, USA), Weiwei Shen (Applied Physics and Applied Mathematics, Columbia University, New York, NY, USA)
| Year of publication: |
June 2016
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|---|---|
| Authors: | Broadie, Mark ; Shen, Weiwei |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 4, p. 1-49
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| Subject: | Portfolio optimization | transaction costs | value function iteration | approximate dynamic programming | lower and upper bounds | Transaktionskosten | Transaction costs | Portfolio-Management | Portfolio selection | Dynamische Optimierung | Dynamic programming | Theorie | Theory | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024916500254 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011523840