A robust linear programming model for index fund construction
In this study, the strategy of effective asset allocation under uncertainty with the capability of risk control, transaction cost reduction and favorable return realization is investigated. In order to implement this strategy and to overcome the shortfalls of classic portfolio optimization models in...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2016-01-01
|
| Series: | Muṭāli̒āt-i Mudīriyyat-i Ṣan̒atī |
| Subjects: | |
| Online Access: | http://jims.atu.ac.ir/article_1980_2354e4c4e108d5a677fc7a780f6ff68f.pdf |