Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
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Publication:299658
DOI10.1016/j.amc.2015.01.050zbMath1338.91133OpenAlexW2027629256MaRDI QIDQ299658
Amir Abbas Najafi, Siamak Mushakhian
Publication date: 22 June 2016
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2015.01.050
Applications of mathematical programming (90C90) Multi-objective and goal programming (90C29) Portfolio theory (91G10)
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