Portfolio Optimization With Transaction Costs
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Discrete-Time Portfolio Optimization with Transaction Costs
| Author | : Feiran Tao |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
This paper studies a fini ...
Multi-Period Trading Via Convex Optimization
| Author | : Stephen Boyd |
| Publisher | : |
| Total Pages | : 92 |
| Release | : 2017-07-28 |
| Genre | : Mathematics |
| ISBN | : 9781680833287 |
This monograph collects in one place the basic deļ¬nitions, a careful description of the model, and discussion of how convex optimization can be used in multi-period trading, all in a common notation and framework.
An Algorithm for Portfolio Optimization with Transaction Costs
| Author | : Michael J. Best |
| Publisher | : |
| Total Pages | : 27 |
| Release | : 2001 |
| Genre | : Convex programming |
| ISBN | : |
Portfolio Optimization and Performance Analysis
| Author | : Jean-Luc Prigent |
| Publisher | : CRC Press |
| Total Pages | : 451 |
| Release | : 2007-05-07 |
| Genre | : Business & Economics |
| ISBN | : 142001093X |
In answer to the intense development of new financial products and the increasing complexity of portfolio management theory, Portfolio Optimization and Performance Analysis offers a solid grounding in modern portfolio theory. The book presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework, cont
Introduction to Risk Parity and Budgeting
| Author | : Thierry Roncalli |
| Publisher | : CRC Press |
| Total Pages | : 430 |
| Release | : 2016-04-19 |
| Genre | : Business & Economics |
| ISBN | : 1482207168 |
Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global fina
