Portfolio optimization with transaction costs: a two-period mean-variance model
Year of publication: |
2015
|
---|---|
Authors: | Fu, Ying Hui ; Ng, Kien Ming ; Huang, Boray ; Huang, Huei Chuen |
Published in: |
Mathematics in business management : [International Conference on Mathematics in Engineering and Business Management during 9 - 10 March 2012, Chennai, India]. - New York, NY : Springer. - 2015, p. 135-156
|
Subject: | Portfolio-Management | Portfolio selection | Theorie | Theory | Transaktionskosten | Transaction costs | Mathematische Optimierung | Mathematical programming |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz im Buch ; Book section |
Language: | English |
Other identifiers: | 10.1007/s10479-014-1574-x [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
An Omega portfolio model with dynamic return thresholds
Yu, Jing-Rung, (2023)
-
Optimal rebalancing frequencies for multidimensional portfolios
Ekren, Ibrahim, (2015)
-
High-dimensional portfolio optimization with transaction costs
Broadie, Mark, (2016)
- More ...
-
A hybridized Lagrangian relaxation and simulated annealing method for the course timetabling problem
Gunawan, Aldy, (2012)
-
A water-flow algorithm for flexible flow shop scheduling with intermediate buffers
Tran Trung Hieu, (2011)
-
Satisficing measure approach for vehicle routing problem with time windows under uncertainty
Nguyen, Viet-Anh, (2016)
- More ...