Open AccessConstant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs
Author(s) -
Yuichi Takano,
Junya Gotoh
Publication year - 2010
Publication title -
asia-pacific financial markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.175
H-Index - 22
eISSN - 1573-6946
pISSN - 1387-2834
DOI - 10.1007/s10690-010-9130-4
Subject(s) - cvar , mathematical optimization , nonlinear system , constant (computer programming) , portfolio optimization , portfolio , nonlinear programming , computer science , transaction cost , database transaction , expected shortfall , mathematics , economics , finance , physics , quantum mechanics , programming language
Multi-period portfolio optimization, Constant rebalancing, Transaction cost, Conditional value-at-risk, Market impact cost,
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