Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
Year of publication: |
2023
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Authors: | Pun, Chi Seng ; Ye, Zi |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 2, p. 351-365
|
Subject: | Discrete-time multi-period optimization | No-shorting constraints | Portfolio optimization | Time consistency in efficiency | Transaction costs | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Transaktionskosten | Zeitkonsistenz | Time consistency |
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