Stochastic portfolio optimization with proportional transaction costs : convex reformulations and computational experiments
Year of publication: |
2012
|
---|---|
Authors: | Filomena, Tiago P. ; Lejeune, Miguel A. |
Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 40.2012, 3, p. 212-217
|
Subject: | Transaktionskosten | Transaction costs | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming |
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