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ArticlePortfolio rebalancing with an investment horizon and transaction costs

M. Woodside-Oriakhi2012

Article2012

Portfolio rebalancing with an investment horizon and transaction costs

M. Woodside-Oriakhi · Cormac A. Lucas · J. E. Beasley

118 citations·0/0 files stored·Omega

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Advanced Optimization Algorithms Research

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References

1952PORTFOLIO SELECTION*1999Coherent Measures of Risk 2000Heuristics for cardinality constrained portfolio optimisation 1979Approximating Expected Utility by a Function of Mean and Variance 1999From stochastic dominance to mean-risk models: Semideviations as risk measures 2012A survey on bank branch efficiency and performance research with data envelopment analysis 2006Portfolio optimization with linear and fixed transaction costs 2010Two-stage evaluation of bank branch efficiency using data envelopment analysis

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2014Estimation of portfolio efficiency via DEA 2016A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios 2016A heuristic framework for the bi-objective enhanced index tracking problem 2018Harmful diversification: Evidence from alternative investments 2019Portfolio models with return forecasting and transaction costs 2016Linear solution schemes for Mean-SemiVariance Project portfolio selection problems: An application in the oil and gas industry

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Year2012

Typearticle

Published2012-05-10

VenueOmega

ISSN-L0305-0483

Languageen

Citations118

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.omega.2012.03.003

openalex_workW1979508981

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2019A multi-objective evolutionary algorithm for a class of mean-variance portfolio selection problems

2019A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost