VaR optimal portfolio with transaction costs

Applied Mathematics and Computation

Volumn 218, Issue 8, 2011, Pages 4626-4637

  Krejić, Nataša ^a   Kumaresan, Miles ^b   Rožnjik, Andrea ^a  

^a UNIVERSITY OF NOVI SAD   (Serbia)

^b Algonetix LLP   (United Kingdom)

Author keywords

Market impact; Portfolio optimization; Smoothing methods; SVaR; Transaction costs; VaR

Indexed keywords

MARKET IMPACTS; PORTFOLIO OPTIMIZATION; SMOOTHING METHODS; SVAR; TRANSACTION COST; VAR;

COST ACCOUNTING; COSTS; FINANCIAL DATA PROCESSING; ITERATIVE METHODS; VALUE ENGINEERING;

OPTIMIZATION;

EID: 81855164676     PISSN: 00963003     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.amc.2011.10.047     Document Type: Article

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