Rebalancing Multiple Assets with Mutual Price Impact

Journal of Optimization Theory and Applications 2018 / 11 Vol. 179; Iss. 2

Rebalancing Multiple Assets with Mutual Price Impact

Guasoni, Paolo, Weber, Marko H.
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Volume:
179
Language:
english
Journal:
Journal of Optimization Theory and Applications
DOI:
10.1007/s10957-018-1366-6
Date:
November, 2018
File:
PDF, 759 KB
english, 2018
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