Periodic portfolio revision with transaction costs
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Gong, Xiaoli & Zhuang, Xintian, 2017. "Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 148-159.
- Sergio Ortobelli & Noureddine Kouaissah & Tomáš Tichý, 2019. "On the use of conditional expectation in portfolio selection problems," Annals of Operations Research, Springer, vol. 274(1), pages 501-530, March.
More about this item
KeywordsPortfolio optimization; Transaction costs; Risk measures; Performance measures; Tempered stable distributions;
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