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"A linearized value-at-risk model with transaction costs and short selling."

Jing-Rung Yu, Wan-Jiun Paul Chiou, Da-Ren Mu (2015)

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DOI: 10.1016/J.EJOR.2015.06.024

access: closed

type: Journal Article

metadata version: 2020-02-21

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  dblp key:
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Jing-Rung Yu, Wan-Jiun Paul Chiou, Da-Ren Mu:
A linearized value-at-risk model with transaction costs and short selling. Eur. J. Oper. Res. 247(3): 872-878 (2015)

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