Stochastic portfolio optimization with proportional transaction costs : convex reformulations and computational experiments
Tiago P. Filomena; Miguel A. Lejeune
| Year of publication: |
2012
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| 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
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| Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | Transaktionskosten | Transaction costs | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009546517