Optimal rebalancing of portfolios with transaction costs

Holden, Helge, Holden, Lars . International Journal of Stochastic Modelling and Applications 2013. 85 (3) :371-394

Locate this article in:

Bibtex

@article{CIS-268623,
  Author = {Holden, Helge and Holden, Lars},
  Title = {Optimal rebalancing of portfolios with transaction costs},
  Journal = {International Journal of Stochastic Modelling and Applications},
  Volume = {85},
  Number = {3},
  Year = {2013},
  Pages = {371--394},
  Keywords = {Utility function, Portfolio optimization, rebalance portfolio, no-trade region}
}

Similar articles