Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
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DOI: 10.1007/s10479-018-2991-z
Abstract: Dynamic portfolio optimization has a vast literature exploring different simplifications by virtue of computational tractability of the problem. Previous works provide solution methods considering unrealistic assumptions, such as no transactional costs, small number of assets,… read more here.
Keywords: time; time consistent; portfolio optimization; transactional costs ... See more keywords