Portfolio selection with transaction costs under expected shortfall constraints

Thomas Breuer () and Martin Jandačka

Computational Management Science, 2008, vol. 5, issue 4, 305-316

Keywords: Portfolio selection; Transaction costs; Multiperiod risk measures; Stochastic programming (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s10287-007-0055-y

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