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Asset allocation with distorted beliefs and transaction costs
Kozhan, Roman; Schmid, Wolfgang - In: European journal of operational research : EJOR 194 (2009) 1, pp. 236-249
Persistent link: https://www.econbiz.de/10003835447
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A possible mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
Zhang, Wei-guo; Liu, Yong-jun; Xu, Wei-jun - In: European journal of operational research : EJOR 222 (2012) 2, pp. 341-349
Persistent link: https://www.econbiz.de/10009570407
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Dynamic portfolio optimization with transaction costs and state-dependent drift
Palczewski, Jan; Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner - In: European journal of operational research : EJOR 243 (2015) 3, pp. 921-931
Persistent link: https://www.econbiz.de/10010513816
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Twenty years of linear programming based portfolio optimization
Mansini, Renata; Ogryczak, Włodzimierz; Speranza, … - In: European journal of operational research : EJOR 234 (2014) 2, pp. 518-535
Persistent link: https://www.econbiz.de/10010356709
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Hysteresis bands on returns, holding period and transaction costs
Delgado, Francisco; Dumas, Bernard; Puopolo, Giovanni W. - In: Journal of banking & finance 57 (2015), pp. 86-100
Persistent link: https://www.econbiz.de/10011543798
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The role of correlation dynamics in sector allocation
Kalotychou, Elena; Staikouras, Sotiris K.; Zhao, Gang - In: Journal of banking & finance 48 (2014), pp. 1-12
Persistent link: https://www.econbiz.de/10010506948
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Performance evaluation of optimized portfolio insurance strategies
Zieling, Daniel; Mahayni, Antje; Balder, Sven - In: Journal of banking & finance 43 (2014), pp. 212-225
Persistent link: https://www.econbiz.de/10010410003
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On the optimal selection of portfolios under limited diversification
Sankaran, Jayaram K.; Patil, Ajay A. - In: Journal of banking & finance 23 (1999) 11, pp. 1655-1666
Persistent link: https://www.econbiz.de/10001415167
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Adaptive online portfolio selection with transaction costs
Guo, Sini; Gu, Jia-Wen; Ching, Wai Ki - In: European journal of operational research : EJOR 295 (2021) 3, pp. 1074-1086
Persistent link: https://www.econbiz.de/10012622437
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On the optimality of joint periodic and extraordinary dividend strategies
Avanzi, Benjamin; Lau, Hayden; Wong, Bernard - In: European journal of operational research : EJOR 295 (2021) 3, pp. 1189-1210
Persistent link: https://www.econbiz.de/10012622451