"Rebalancing an investment portfolio in the presence of convex transaction ..."

John E. Mitchell, Stephen Braun (2013)

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DOI: 10.1080/10556788.2012.717940

access: closed

type: Journal Article

metadata version: 2020-09-24

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John E. Mitchell, Stephen Braun:
Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs. Optim. Methods Softw. 28(3): 523-542 (2013)

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