Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs

Published 2012 View Full Article

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Title
Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
Authors
Keywords
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Journal
OPTIMIZATION METHODS & SOFTWARE
Volume 28, Issue 3, Pages 523-542
Publisher
Informa UK Limited
Online
2012-09-03
DOI
10.1080/10556788.2012.717940
References
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