搜索结果: 1-2 共查到“工商管理 Transaction Costs”相关记录2条 . 查询时间(0.078 秒)
Portfolio Optimization with Linear and Fixed Transaction Costs
Portfolio Optimization Linear Fixed Transaction Costs
font style='font-size:12px;'>
2015/7/10
We consider the problem of portfolio selection, with transaction costs and constraints on exposure to risk. Linear transaction costs, bounds on the variance of the return, and bounds on different shor...
Multi-Period Portfolio Optimization with Constraints and Transaction Costs
Multi-Period Portfolio Optimization Constraints Transaction Costs
font style='font-size:12px;'>
2015/7/9
We consider the problem of multi-period portfolio optimization over a finite horizon, with a self-financing budget constraint and arbitrary distribution of asset returns, with objective to minimize th...