Skip to main content

Main menu

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • IPR Logo
  • Home
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Visit IIJ on Facebook
  • YouTube

User menu

  • Sample our Content
  • Subscribe Now
  • Log in

Search

  • Advanced search
The Journal of Trading
  • IPR Logo
  • Home
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Subscribe Now
  • Log in
The Journal of Trading

The Journal of Trading

Advanced Search

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Visit IIJ on Facebook
  • YouTube
Article

A Posteriori Multistage Optimal Trading under Transaction Costs and a Diversification Constraint

Mogens Graf Plessen and Alberto Bemporad
The Journal of Trading Summer 2018, 13 (3) 67-83; DOI: https://doi.org/10.3905/jot.2018.1.064
Mogens Graf Plessen
is a PhD student at IMT School for Advanced Studies Lucca in Lucca, Italy. mogens.plessen@imtlucca.it
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Alberto Bemporad
is a professor at the IMT School for Advanced Studies Lucca in Lucca, Italy. alberto.bemporad@imtlucca.it
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF
Loading

This article requires a subscription to view the full text. If you have a subscription you may use the login form below to view the article. Access to this article can also be purchased.

Don’t have access?

IPR Journals is the leading provider of applicable theoretical research for all those in the investment management community. Benefit from access to our content including:

  • Unrestricted access to all 11 Journals ​
  • Enhanced Search and Browse Functionality
  • Topic Searches and handpicked curated Collections 
  • A full archive of content going back to 1974

SAMPLE OUR CONTENT >>

INQUIRE ABOUT A SUBSCRIPTION >>

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore all content across our journals

  • Topics
  • Journals
  • Authors
  • Highlights
  • Collections

In this issue

The Journal of Trading: 13 (3)
The Journal of Trading
Vol. 13, Issue 3
Summer 2018
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Trading.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
A Posteriori Multistage Optimal Trading under Transaction Costs and a Diversification Constraint
(Your Name) has sent you a message from The Journal of Trading
(Your Name) thought you would like to see the The Journal of Trading web site.
Citation Tools
A Posteriori Multistage Optimal Trading under Transaction Costs and a Diversification Constraint
Mogens Graf Plessen, Alberto Bemporad
The Journal of Trading Jul 2018, 13 (3) 67-83; DOI: 10.3905/jot.2018.1.064

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
A Posteriori Multistage Optimal Trading under Transaction Costs and a Diversification Constraint
Mogens Graf Plessen, Alberto Bemporad
The Journal of Trading Jul 2018, 13 (3) 67-83; DOI: 10.3905/jot.2018.1.064
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • ONE-STAGE MODELING OF TRANSITION DYNAMICS
    • MULTISTAGE OPTIMIZATION WITHOUT DIVERSIFICATION CONSTRAINTS
    • MULTISTAGE TRANSITION DYNAMICS OPTIMIZATION WITH A DIVERSIFICATION CONSTRAINT
    • NUMERICAL EXAMPLES
    • CONCLUSION
    • ENDNOTE
    • REFERENCES
  • Info & Metrics
  • PDF

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • COMMENTARY: Space Unicorns and the Intermarket Trading System: Revisiting Myths
  • COMMENTARY: Commentary on “If Best Execution Is a Process, What Does That Process Look Like?”1
  • COMMENTARY: Beyond the Black Box Revisited: Algorithmic Trading and TCA Analysis Using Excel
Show more Article

Similar Articles

LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
iprjournals@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Visit IIJ on Facebook
  • YouTube

MORE FROM IPR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About IPR Journals

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2018 Pageant Media Ltd | All Rights Reserved | ISSN: 1559-3967 | E-ISSN: 2168-8427

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies