Pages that link to "Item:Q4971373"

The following pages link to Technical Note—A Robust Perspective on Transaction Costs in Portfolio Optimization (Q4971373):

Displaying 21 items.

• A linear programming model for selection of sparse high-dimensional multiperiod portfolios (Q1622825) (← links)
• Parameter-free robust optimization for the maximum-Sharpe portfolio problem (Q2030537) (← links)
• Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs (Q2178096) (← links)
• Large-scale minimum variance portfolio allocation using double regularization (Q2191518) (← links)
• An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection (Q2288970) (← links)
• Optimal portfolio choice: a minimum expected loss approach (Q2299386) (← links)
• Large-scale portfolio allocation under transaction costs and model uncertainty (Q2323379) (← links)
• Periodic portfolio revision with transaction costs (Q2354016) (← links)
• Log-robust portfolio management after transaction costs (Q2454357) (← links)
• Disentangling the role of variance and covariance information in portfolio selection problems (Q4628035) (← links)
• A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection (Q4988547) (← links)
• A cost-effective approach to portfolio construction with range-based risk measures (Q4991085) (← links)
• Optimal Portfolio Diversification via Independent Component Analysis (Q5031000) (← links)
• A Scalable Algorithm for Sparse Portfolio Selection (Q5087719) (← links)
• Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio (Q5129173) (← links)
• The Impact of Proportional Transaction Costs on Systematically Generated Portfolios (Q5131412) (← links)
• Fuzzy portfolio optimization with tax, transaction cost and investment amount: a developing country case (Q5147629) (← links)
• Generalization bounds for regularized portfolio selection with market side information (Q5882397) (← links)
• Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty (Q6039453) (← links)
• Portfolio management with higher moments: the cardinality impact (Q6066673) (← links)
• Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency (Q6158404) (← links)