Models and simulations for portfolio rebalancing

Computational Economics

Volumn 33, Issue 3, 2009, Pages 237-262

  Guastaroba, Gianfranco ^a   Mansini, Renata ^a   Speranza, Grazia M ^a  

^a UNIVERSITY OF BRESCIA   (Italy)

Author keywords

Conditional value at risk; Mixed integer linear programming; Multi period portfolio analysis; Portfolio rebalancing; Risk management

Indexed keywords

EID: 61349183126     PISSN: 09277099     EISSN: 15729974     Source Type: Journal    
DOI: 10.1007/s10614-008-9158-y     Document Type: Article

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