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Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints.

Ren LiuJohannes Muhle-Karbe
Published in: SIAM J. Financial Math. (2013)
Keyphrases
  • portfolio selection
  • transaction costs
  • portfolio management
  • portfolio optimization
  • optimal portfolio
  • financial markets
  • multiple objectives
  • data mining
  • simulated annealing
  • stock exchange