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Article provided by Springer in its journal Computational Management Science.

Volume (Year): 5 (2008)
Issue (Month): 4 (October)
Pages: 305-316
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:spr:comgts:v:5:y:2008:i:4:p:305-316

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Related research

Keywords: Portfolio selection; Transaction costs; Multiperiod risk measures; Stochastic programming;

References listed on IDEAS
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1. Brennan, Michael J. & Schwartz, Eduardo S. & Lagnado, Ronald, 1997. "Strategic asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1377-1403, June. [Downloadable!] (restricted)
2. Ait-Sahalia, Y. & Brandt, M.W., 2001. "Variable Selection for Portfolio Choice," Papers 34, Manitoba - Department of Economics.
   Other versions:
   • Yacine Ait-Sahalia & Michael W. Brandt, 2001. "Variable Selection for Portfolio Choice," NBER Working Papers 8127, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • Yacine AÏT-SAHALIA, & Michael W. BRANDT, 2001. "Variable Selection for Portfolio Choice," FAME Research Paper Series rp34, International Center for Financial Asset Management and Engineering. [Downloadable!]
   • Yacine Aït-Sahalia, 2001. "Variable Selection for Portfolio Choice," Journal of Finance, American Finance Association, vol. 56(4), pages 1297-1351, 08. [Downloadable!] (restricted)
3. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 18(3), pages 831-873. [Downloadable!] (restricted)
4. Yuri Kabanov & Claudia Klüppelberg, 2004. "A geometric approach to portfolio optimization in models with transaction costs," Finance and Stochastics, Springer, vol. 8(2), pages 207-227, 05. [Downloadable!] (restricted)
5. Magill, Michael J. P. & Constantinides, George M., 1976. "Portfolio selection with transactions costs," Journal of Economic Theory, Elsevier, vol. 13(2), pages 245-263, October. [Downloadable!] (restricted)
6. Rust, John, 1996. "Numerical dynamic programming in economics," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 14, pages 619-729 Elsevier. [Downloadable!] (restricted)
7. Michael J. Brennan & Yihong Xia, 2002. "Dynamic Asset Allocation under Inflation," Journal of Finance, American Finance Association, vol. 57(3), pages 1201-1238, 06. [Downloadable!] (restricted)
8. Kim, Tong Suk & Omberg, Edward, 1996. "Dynamic Nonmyopic Portfolio Behavior," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 9(1), pages 141-61. [Downloadable!] (restricted)

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