Constant rebalanced portfolio optimization under nonlinear transaction costs
type: Item
instance of: scholarly article
title: Constant rebalanced portfolio optimization under nonlinear transaction costs
zbMATH Open document ID: 1278.91152
author: Yuichi Takano
author: Jun-Ya Gotoh
published in: Asia-Pacific Financial Markets
publication date: 2011-05-25T00:00:00Z
full work available at URL: http://hdl.handle.net/2241/103903
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5899523
zbMATH Keywords: multi-period portfolio optimization
zbMATH Keywords: constant rebalancing
zbMATH Keywords: transaction cost
zbMATH Keywords: conditional value-at-risk
zbMATH Keywords: market impact cost
MaRDI profile type: Publication
OpenAlex ID: W2059456594
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DOI: 10.1007/S10690-010-9130-4
description: scientific article; zbMATH DE number 5899523