Optimal investment under transaction costs: A threshold rebalanced portfolio approach

IEEE Transactions on Signal Processing

Volumn 61, Issue 12, 2013, Pages 3129-3142

  Tunc, Sait ^a   Donmez, Mehmet Ali ^b   Kozat, Suleyman Serdar ^c  

^a University of Wisconsin Madison   (United States)

^b KOÇ UNIVERSITY   (Turkey)

^c BILKENT UNIVERSITY   (Turkey)

Author keywords

Continuous distribution; discrete time market; portfolio management; threshold rebalancing; transaction cost

Indexed keywords

CONTINUOUS DISTRIBUTION; DISCRETE-TIME MARKET; PORTFOLIO MANAGEMENTS; REBALANCING; TRANSACTION COST;

ALGORITHMS; COMMERCE; COSTS; FINANCIAL DATA PROCESSING; SEQUENTIAL SWITCHING; SIGNAL PROCESSING;

INVESTMENTS;

EID: 84878305898     PISSN: 1053587X     EISSN: None     Source Type: Journal    
DOI: 10.1109/TSP.2013.2258339     Document Type: Article

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