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Portfolio Optimization Model with Transaction Costs

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摘要 AbstractThepurposeofthearticleistoformulate,underthel_∞riskmeasure,amodelofportfolioselectionwithtransactioncostsandtheninvestigatetheoptimalstrategywithintheproposed.Thecharacterizationofaoptimalstrategyandtheefficientalgorithmforfindingtheoptimalstrategyaregiven.

DOI ojnqq57ljr/1040113

作者

机构地区不详

出处《应用数学学报：英文版》 2002年2期

关键词 TRANSACTION COST PORTFOLIO OPTIMIZATION MODEL ALGORITHM

分类 [理学][基础数学]

出版日期 2002年02月12日（中国Betway体育网页登陆平台首次上网日期，不代表论文的发表时间）

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来源期刊

应用数学学报：英文版

应用数学学报：英文版

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相关关键词

TRANSACTION COST PORTFOLIO OPTIMIZATION MODEL ALGORITHM

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