Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs
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DOI: 10.1007/s10690-010-9130-4
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Cited by:
- Najafi, Amir Abbas & Mushakhian, Siamak, 2015. "Multi-stage stochastic mean–semivariance–CVaR portfolio optimization under transaction costs," Applied Mathematics and Computation, Elsevier, vol. 256(C), pages 445-458.
- Yuichi Takano & Renata Sotirov, 2012.
"A polynomial optimization approach to constant rebalanced portfolio selection,"
Computational Optimization and Applications, Springer, vol. 52(3), pages 645-666, July.
- Takano, Y. & Sotirov, R., 2010. "A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection," Discussion Paper 2010-114, Tilburg University, Center for Economic Research.
- Takano, Y. & Sotirov, R., 2010. "A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection," Other publications TiSEM 50bcc54f-7451-4e27-88a5-3, Tilburg University, School of Economics and Management.
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Keywords
Multi-period portfolio optimization; Constant rebalancing; Transaction cost; Conditional value-at-risk; Market impact cost;All these keywords.
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