Optimal tracking for asset allocation with fixed and proportional transaction costs

DOI10.1080/14697680400000027zbMath1405.91568OpenAlexW4230885136MaRDI QIDQ4610230

Kiyoshi Suzuki, Stanley R. Pliska

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680400000027

zbMATH Keywords

transaction costsasset allocationoptimal tracking

Mathematics Subject Classification ID

Portfolio theory (91G10)

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