Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs
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- Yuichi Takano & Renata Sotirov, 2012.
"A polynomial optimization approach to constant rebalanced portfolio selection,"
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- Takano, Y. & Sotirov, R., 2010. "A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection," Discussion Paper 2010-114, Tilburg University, Center for Economic Research.
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More about this item
KeywordsMulti-period portfolio optimization; Constant rebalancing; Transaction cost; Conditional value-at-risk; Market impact cost;
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