Thijs Kamma, Antoon Pelsser. Near-optimal asset allocation in financial markets with trading constraints. European Journal of Operational Research, 297(2):766-781, 2022. [doi]
@article{KammaP22,
title = {Near-optimal asset allocation in financial markets with trading constraints},
author = {Thijs Kamma and Antoon Pelsser},
year = {2022},
doi = {10.1016/j.ejor.2021.06.029},
url = {https://doi.org/10.1016/j.ejor.2021.06.029},
researchr = {https://researchr.org/publication/KammaP22},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {297},
number = {2},
pages = {766-781},
}