A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts

Author： Mittal Garima   Mehlawat Mukesh Kumar  

Publisher： Taylor & Francis Ltd

ISSN： 0233-1934

Source： Optimization, Vol.63, Iss.10, 2014-10, pp. : 1595-1613

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Related content

Sparse portfolio rebalancing model based on inverse optimization

By Wang Meihua   Xu Fengmin   Wang Guan  

Optimization Methods and Software, Vol. 29, Iss. 2, 2014-03 ,pp. : 297-309

Taylor & Francis Ltd

Access to resources Recommend Favorite

Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs

By Mitchell John E.   Braun Stephen  

Optimization Methods and Software, Vol. 28, Iss. 3, 2013-06 ,pp. : 523-542

Taylor & Francis Ltd

Access to resources Recommend Favorite

Optimal rebalancing of portfolios with transaction costs

By Holden Helge  

Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 85, Iss. 3, 2013-06 ,pp. : 371-394

Taylor & Francis Ltd

Access to resources Recommend Favorite

A unified approach to portfolio optimization with linear transaction costs

By Zakamouline Valeri  

Mathematical Methods of Operations Research, Vol. 62, Iss. 2, 2005-11 ,pp. : 319-343

Springer Publishing Company

Access to resources Recommend Favorite

Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs

By Atkinson Colin   Quek Gary  

Applied Mathematical Finance, Vol. 19, Iss. 3, 2012-07 ,pp. : 265-298

Routledge Ltd

Access to resources Recommend Favorite