Worst-case portfolio optimization with proportional transaction costs (Q2804001)
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scientific article; zbMATH DE number 6574552
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Worst-case portfolio optimization with proportional transaction costs |
scientific article; zbMATH DE number 6574552 |
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Worst-case portfolio optimization with proportional transaction costs (English)
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27 April 2016
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portfolio optimization
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worst-case scenarios
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crash modelling
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transaction costs
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dynamic programming
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viscosity solutions
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