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VaR optimal portfolio with transaction costs.

Natasa KrejicMiles KumaresanAndrea Roznjik
Published in: Appl. Math. Comput. (2011)
Keyphrases
  • transaction costs
  • portfolio selection
  • optimal portfolio
  • robust optimization
  • portfolio optimization
  • portfolio management
  • mathematical programming
  • search costs
  • financial markets
  • utility function
  • decision theory