Models and simulations for portfolio rebalancing

DOI10.1007/s10614-008-9158-yzbMath1188.91201OpenAlexW2089896711MaRDI QIDQ1038764

J. Blot

Publication date: 20 November 2009

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-008-9158-y

zbMATH Keywords

mixed integer linear programmingrisk managementconditional value at riskportfolio rebalancingmulti-period portfolio analysis

Mathematics Subject Classification ID

Mixed integer programming (90C11) Portfolio theory (91G10)

Related Items (5)

Robust portfolio optimization with a hybrid heuristic algorithm ⋮ Dealing with complex transaction costs in portfolio management ⋮ Sparse portfolio rebalancing model based on inverse optimization ⋮ Twenty years of linear programming based portfolio optimization ⋮ Computing optimal rebalance frequency for log-optimal portfolios

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