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"Stochastic portfolio optimization with proportional transaction costs: ..."

Tiago Pascoal Filomena, Miguel A. Lejeune (2012)

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DOI: 10.1016/J.ORL.2012.01.003

access: closed

type: Journal Article

metadata version: 2018-11-30

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Tiago Pascoal Filomena, Miguel A. Lejeune:
Stochastic portfolio optimization with proportional transaction costs: Convex reformulations and computational experiments. Oper. Res. Lett. 40(3): 212-217 (2012)

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