VaR optimal portfolio with transaction costs (Q427038)
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scientific article; zbMATH DE number 6045862
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VaR optimal portfolio with transaction costs |
scientific article; zbMATH DE number 6045862 |
Statements
VaR optimal portfolio with transaction costs (English)
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13 June 2012
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portfolio optimization
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VaR
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transaction costs
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market impact
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smoothing methods
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SVaR
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0.9221361
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0.91812503
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0.9122474
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0.91036284
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0.90657413
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0.9064003
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0.9057833
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0.90547866
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