Portfolio selection with transaction costs under expected shortfall constraints (Q1031948)
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scientific article; zbMATH DE number 5620210
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio selection with transaction costs under expected shortfall constraints |
scientific article; zbMATH DE number 5620210 |
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Portfolio selection with transaction costs under expected shortfall constraints (English)
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23 October 2009
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portfolio selection
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transaction costs
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multiperiod risk measures
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stochastic programming
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0.93789804
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0.92908037
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0.92803454
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0.9267671
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0.92550707
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