Portfolio selection with transaction costs under expected shortfall constraints

DOI10.1007/s10287-007-0055-yzbMath1175.91155OpenAlexW2092766214MaRDI QIDQ1031948

Martin Jandačka, Thomas Breuer

Publication date: 23 October 2009

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-007-0055-y

zbMATH Keywords

stochastic programmingtransaction costsportfolio selectionmultiperiod risk measures

Mathematics Subject Classification ID

Cites Work

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