A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT (Q3560104)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT |
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A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT (English)
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19 May 2010
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maximal predictability portfolio
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factor model
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nonconvex minimization problem
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absolute deviation
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\(0-1\) integer programming
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turnover constraint
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transaction cost
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