Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 18 (2011)
Issue (Month): 2 (May)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Multi-period portfolio optimization; Constant rebalancing; Transaction cost; Conditional value-at-risk; Market impact cost;
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