Robust portfolio rebalancing with transaction cost penalty : an empirical analysis
Year of publication: |
2011
|
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Authors: | Serbin, Vitaly ; Borkovec, Milan ; Chigirinskiy, Michael |
Published in: |
Journal of investment management : JOIM. - Lafayette, Calif., ISSN 1545-9144, ZDB-ID 2495180-8. - Vol. 9.2011, 2, p. 73-87
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Subject: | Portfolio-Management | Portfolio selection | Transaktionskosten | Transaction costs | Robustes Verfahren | Robust statistics |
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