Portfolio revision under mean-variance and mean-CVaR with transaction costs

著录项

• 来源
  《Review of quantitative finance and accounting》 |2012年第4期|p.509-526|共18页
• 作者

  Andrew H. Chen; Frank J. Fabozzi; Dashan Huang;

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• 作者单位

  Edwin L. Cox School of Business, Southern Methodist University, Dallas, TX 75275, USA;

  Finance Department, EDHEC Business School, Nice, France;

  Finance Department, Olin School of Business, Washington University, St. Louis, MO 63130, USA;

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• 收录信息
• 原文格式 PDF
• 正文语种 eng
• 中图分类
• 关键词

  portfolio revision; transaction costs; mean-variance; conditional value-at-risk (CVaR);

  机译：投资组合修订;交易成本;平均方差有条件的风险价值（CVaR）;