Mean-variance portfolio rebalancing with transaction costs and funding changes
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DOI: 10.1057/jors.2009.148
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- Dimitris Andriosopoulos & Michalis Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019.
"Computational approaches and data analytics in financial services: A literature review,"
Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1581-1599, October.
- Dimitris Andriosopoulos & Michael Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Post-Print hal-02879937, HAL.
- Dimitris Andriosopoulos & Michael Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Post-Print hal-02880149, HAL.
- Sabastine Mushori & Delson Chikobvu, 2018. "Investment Opportunities, Uncertain Implicit Transaction Costs and Maximum Downside Risk in Dynamic Stochastic Financial Optimization," International Journal of Economics and Financial Issues, Econjournals, vol. 8(4), pages 256-264.
- Woodside-Oriakhi, M. & Lucas, C. & Beasley, J.E., 2013. "Portfolio rebalancing with an investment horizon and transaction costs," Omega, Elsevier, vol. 41(2), pages 406-420.
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Keywords
finance; portfolio rebalancing; quadratic programming;All these keywords.
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