Portfolio revision under mean-variance and mean-CVaR with...

Review of Quantitative Finance and Accounting 2012 / 11 Vol. 39; Iss. 4

Portfolio revision under mean-variance and mean-CVaR with transaction costs

Andrew H. Chen, Frank J. Fabozzi, Dashan Huang
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Volume:
39
Language:
english
DOI:
10.1007/s11156-012-0292-1
Date:
November, 2012
File:
PDF, 484 KB
english, 2012
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