Multi-period stochastic optimization models for dynamic asset allocation
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 30 (2006)
Issue (Month): 2 (February)
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Web page: http://www.elsevier.com/locate/jbf
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- Yuichi Takano & Renata Sotirov, 2012.
"A polynomial optimization approach to constant rebalanced portfolio selection,"
Computational Optimization and Applications,
Springer, vol. 52(3), pages 645-666, July.
- Takano, Y. & Sotirov, R., 2010. "A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection," Discussion Paper 2010-114, Tilburg University, Center for Economic Research.
- Kerem SENEL & A. Bulent PAMUKCU, 2012. "A Comparative Study For Multi-Period Asset Allocation Of Defined Contribution Schemes: Evidence From Turkey," Istanbul Commerce University Journal of Social Sciences, Istanbul Commerce University, vol. 21(1), pages 289-304.
- Yuichi Takano & Jun-ya Gotoh, 2011. "Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs," Asia-Pacific Financial Markets, Springer, vol. 18(2), pages 191-211, May.
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