Near-optimal asset allocation in financial markets with trading constraints-Reference-Cited by-同舟云学术

Near-optimal asset allocation in financial markets with trading constraints

Published:2022-03 Issue:2 Volume:297 Page:766-781
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Kamma Thijs^ORCID,Pelsser Antoon

Funder

Network for Studies on Pensions, Aging and Retirement

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

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4. Dynamic hedging in incomplete markets: a simple solution;Basak;Review of Financial Studies,2012

5. Optimal asset allocation and risk shifting in money management;Basak;The Review of Financial Studies,2007

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