Dynamic portfolio optimization with transaction costs and...

European Journal of Operational Research 2015 / 06 Vol. 243; Iss. 3

Dynamic portfolio optimization with transaction costs and state-dependent drift

Palczewski, Jan, Poulsen, Rolf, Schenk-Hoppé, Klaus Reiner, Wang, Huamao
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Volume:
243
Language:
english
Journal:
European Journal of Operational Research
DOI:
10.1016/j.ejor.2014.12.040
Date:
June, 2015
File:
PDF, 578 KB
english, 2015
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