Optimal rebalancing of portfolios with transaction costs

4529/Holden_-_Optimal_rebalancing_of_portfolios_with_transaction.pdf

Holden, Helge; Holden, Lars

September 12, 2007

ADMIN

• Filename: 4529/Holden_-_Optimal_rebalancing_of_portfolios_with_transaction.pdf
• Areas: Finance
• Keywords: Rebalance portfolio, portfolio optimization, transaction costs, no-trade region
• Page(s): 34
• Name and number of project:
• Title: Optimal rebalancing of portfolios with transaction costs
• Author(s): Holden, Helge; Holden, Lars
• Report number: ADMIN/01/2007
• Published date: September 12, 2007