Robust multiperiod portfolio management in the presence of transaction costs

Computers and Operations Research

Volumn 35, Issue 1, 2008, Pages 3-17

  Bertsimas, Dimitris ^a   Pachamanova, Dessislava ^b  

^a MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^b BABSON COLLEGE   (United States)

Author keywords

Multiperiod portfolio management; Robust optimization

Indexed keywords

COMPUTATIONAL METHODS; CONSTRAINED OPTIMIZATION; FAULT TOLERANCE; INDUSTRIAL ECONOMICS; ROBUST CONTROL;

MEAN-VARIANCE FORMULATION; MULTIPERIOD PORTFOLIO MANAGEMENT; ROBUST OPTIMIZATION; TRANSACTION COSTS;

INFORMATION MANAGEMENT;

EID: 34250179465     PISSN: 03050548     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cor.2006.02.011     Document Type: Article

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