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Optimal Impact Portfolios with General Dependence and Marginals.

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Title: Optimal Impact Portfolios with General Dependence and Marginals.
Authors: Lo, Andrew W.1,2,3,4 (AUTHOR) alo@mit.edu, Wu, Lan5,6 (AUTHOR) lwu@pku.edu.cn, Zhang, Ruixun5,6,7,8 (AUTHOR) zhangruixun@pku.edu.cn, Zhao, Chaoyi6 (AUTHOR) zhaochaoyi@pku.edu.cn
Source: Operations Research. Sep/Oct2024, Vol. 72 Issue 5, p1775-1789. 15p.
Database: Business Source Ultimate
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ISSN:0030364X
DOI:10.1287/opre.2023.0400