Technical note: a robust perspective on transaction costs in portfolio optimization

Journal

Operations Research

Subject

Management Science and Operations

Publishing details

Operations Research 2018 Vol 66:3 p 733-739

Authors / Editors

Olivares-Nadal A V; DeMiguel V

Biographies

DeMiguel V

Publication Year

2018

Keywords

Transaction costs; Estimation error; Robust optimization; Robust regression; Bayesian portfolios; Data-driven portfolios.