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Autor:
Seyed Omid Mohaddesi, Mostafa Zandieh
In this paper, we solve portfolio rebalancing problem when security returns are represented by uncertain variables considering transaction costs. The performance of the proposed model is studied using constant-proportion portfolio insurance (CPPI) as
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8c423c9340d412ff932cb3b3acc3ea74
http://arxiv.org/abs/1812.07635
http://arxiv.org/abs/1812.07635