منابع مشابه
CORC Technical Report TR - 2004 - 11 Robust Active Portfolio Management ∗
In this paper we construct robust models for active portfolio management in a market with transaction costs. The goal of these robust models is to control the impact of estimation errors in the values of the market parameters on the performance of the portfolio strategy. Our models can handle a large class of piecewise convex transaction cost functions and allow one to impose additional side co...
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Traditional techniques in portfolio management rely on the precise knowledge of the underlying probability distributions; in practice, however, such information is difficult to obtain because multiple factors affect stock prices on a daily basis and unexpected events might affect the price dynamics. To address this issue, we propose an approach to dynamic portfolio management based on the seque...
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 2008
ISSN: 1460-1559
DOI: 10.21314/jcf.2008.187