Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs

Yuichi Takano and Jun-ya Gotoh ()

Asia-Pacific Financial Markets, 2011, vol. 18, issue 2, 211 pages

Keywords: Multi-period portfolio optimization; Constant rebalancing; Transaction cost; Conditional value-at-risk; Market impact cost (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10690-010-9130-4

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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