The price of portfolio selection under tail conditional expectation with consumption cost and transaction cost

DOI10.4314/AFST.V8I1.4zbMath1279.91148OpenAlexW1493614409MaRDI QIDQ392535

Silas Abahia Ihedioha, Bright Okore Osu, Enyinnaya Ekuma-Okereke

Publication date: 14 January 2014

Published in: Afrika Statistika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4314/afst.v8i1.4

zbMATH Keywords

transaction costsvalue-at-riskrisk managementtail conditional expectationasset-liability controlconsumption costs

Mathematics Subject Classification ID

Portfolio theory (91G10)

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