Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs
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Volume (Year): 18 (2011)
Issue (Month): 2 (May)
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- Maranas, C. D. & Androulakis, I. P. & Floudas, C. A. & Berger, A. J. & Mulvey, J. M., 1997. "Solving long-term financial planning problems via global optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1405-1425, June.
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