Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
Crossref DOI link: https://doi.org/10.1007/s10479-018-2991-z
Published Online: 2018-08-01
Published Print: 2019-11
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Valladão, Davi
Silva, Thuener
Poggi, Marcus
Funding for this research was provided by:
Conselho Nacional de Desenvolvimento Científico e Tecnológico (142776/2010-6)
Escola Nacional de Seguros
Text and Data Mining valid from 2018-08-01
Article History
First Online: 1 August 2018