Multiperiod portfolio optimization with multiple risky assets and general transaction costs

Journal

Journal of Banking and Finance

Subject

Management Science and Operations

Publishing details

Journal of Banking and Finance 2016 Vol 69:August p 108-120

Authors / Editors

Mei X; DeMiguel V; Nogales F

Biographies

DeMiguel V

Publication Year

2016

Keywords

Portfolio optimization; multiperiod utility; no-trade region; market impact