Mean-Variance portfolio selection in presence of infrequently traded stocks.

Rosella Castellano Roy Cerqueti

Published in: Eur. J. Oper. Res. (2014)

Keyphrases

portfolio selection
financial markets
multistage stochastic
portfolio optimization
robust optimization
portfolio management
stock price
stock market
transaction costs
multiple objectives
optimal portfolio
expert systems
non stationary
risk management