Optimal rebalancing frequencies for multidimensional portfolios
Ibrahim Ekren, Ren Liu, Johannes Muhle-Karbe
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Ekren, Ibrahim ; Liu, Ren ; Muhle-Karbe, Johannes |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 12.2018, 2, p. 165-191
|
| Subject: | Transaction costs | Optimal trading frequency | Optimal investment | Multiple assets | Theorie | Theory | Portfolio-Management | Portfolio selection | Transaktionskosten | Wertpapierhandel | Securities trading | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-017-0200-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011963751