Optimal symmetric no-trade ranges in asset rebalancing strategy with transaction costs : an application to the government pension investment fund in Japan
Year of publication: |
2014
|
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Authors: | Hibiki, Norio ; Yamamoto, Rei |
Published in: |
Asia-Pacific journal of risk and insurance : APJRI. - Berlin : De Gruyter, ISSN 2153-3792, ZDB-ID 2541118-4. - Vol. 8.2014, 2, p. 293-327
|
Subject: | asset allocation | transaction cost | no-trade range | derivative-free optimization | Transaktionskosten | Transaction costs | Portfolio-Management | Portfolio selection | Theorie | Theory | Japan | Investmentfonds | Investment Fund | Pensionskasse | Pension fund |
Extent: | graph. Darst. |
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Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | 10.1515/apjri-2013-0024 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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