Models and Simulations for Portfolio Rebalancing
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Volume (Year): 33 (2009)
Issue (Month): 3 (April)
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- Elton, Edwin J & Gruber, Martin J, 1974. "On the Optimality of Some Multiperiod Portfolio Selection Criteria," The Journal of Business, University of Chicago Press, vol. 47(2), pages 231-243, April.
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- Renata Mansini & Włodzimierz Ogryczak & M. Speranza, 2007. "Conditional value at risk and related linear programming models for portfolio optimization," Annals of Operations Research, Springer, vol. 152(1), pages 227-256, July.
- Nitin R. Patel & Marti G. Subrahmanyam, 1982. "A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs," Management Science, INFORMS, vol. 28(3), pages 303-314, March.
- Martin R. Young, 1998. "A Minimax Portfolio Selection Rule with Linear Programming Solution," Management Science, INFORMS, vol. 44(5), pages 673-683, May.
- Gerard Gennotte & Alan Jung, 1994. "Investment Strategies under Transaction Costs: The Finite Horizon Case," Management Science, INFORMS, vol. 40(3), pages 385-404, March.