Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs (Q5299910): Difference between revisions

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scientific article; zbMATH DE number 6179992

Language	Label	Description	Also known as
English	Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs	scientific article; zbMATH DE number 6179992

Statements

instance of

scholarly article

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title

Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs (English)

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Optimization Methods and Software

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publication date

24 June 2013

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zbMATH Keywords

portfolio optimization

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transaction costs

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market impact costs

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rebalancing

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conic optimization

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convex optimization

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/10556788.2012.717940

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cites work

A simple algorithm to incorporate transactions costs in quadratic optimization

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Second-order cone programming

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On implementing a primal-dual interior-point method for conic quadratic optimization

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Portfolio selection and transactions costs

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A semidefinite programming heuristic for quadratic programming problems with complementarity constraints

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Consumption-investment problems with transaction costs: Survey and open problems

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Optimal trading of a security when there are taxes and transaction costs

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Programming with linear fractional functionals

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No-dynamic-arbitrage and market impact

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Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

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Solving nonlinear portfolio optimization problems with the primal-dual interior point method

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Hedging options under transaction costs and stochastic volatility

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Optimal Portfolio Revision with a Proportional Transaction Cost

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Selecting portfolios with fixed costs and minimum transaction lots

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Portfolio optimization with linear and fixed transaction costs

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Polynomial Interior Point Cutting Plane Methods

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MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS

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Large-Scale Portfolio Optimization

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Large scale portfolio optimization with piecewise linear transaction costs

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Convex Analysis

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The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time

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Parameter-free convex equivalent and dual programs of fractional programming problems

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Asset/liability management under uncertainty for fixed-income securities

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Identifiers

zbMATH Open document ID

1266.91121

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DOI

10.1080/10556788.2012.717940

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5299910

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+A simple algorithm to incorporate transactions costs in quadratic optimization
+Normal rank
@@ Property / cites work @@
+Second-order cone programming
@@ Property / cites work: Second-order cone programming / rank @@
+Normal rank
@@ Property / cites work @@
+On implementing a primal-dual interior-point method for conic quadratic optimization
+Normal rank
@@ Property / cites work @@
+Portfolio selection and transactions costs
@@ Property / cites work: Portfolio selection and transactions costs / rank @@
+Normal rank
@@ Property / cites work @@
+A semidefinite programming heuristic for quadratic programming problems with complementarity constraints
+Normal rank
@@ Property / cites work @@
+Consumption-investment problems with transaction costs: Survey and open problems
+Normal rank
@@ Property / cites work @@
+Optimal trading of a security when there are taxes and transaction costs
+Normal rank
@@ Property / cites work @@
+Programming with linear fractional functionals
@@ Property / cites work: Programming with linear fractional functionals / rank @@
+Normal rank
@@ Property / cites work @@
+No-dynamic-arbitrage and market impact
@@ Property / cites work: No-dynamic-arbitrage and market impact / rank @@
+Normal rank
@@ Property / cites work @@
+Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
+Normal rank
@@ Property / cites work @@
+Solving nonlinear portfolio optimization problems with the primal-dual interior point method
+Normal rank
@@ Property / cites work @@
+Hedging options under transaction costs and stochastic volatility
+Normal rank
@@ Property / cites work @@
+Optimal Portfolio Revision with a Proportional Transaction Cost
+Normal rank
@@ Property / cites work @@
+Selecting portfolios with fixed costs and minimum transaction lots
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with linear and fixed transaction costs
+Normal rank
@@ Property / cites work @@
+Polynomial Interior Point Cutting Plane Methods
@@ Property / cites work: Polynomial Interior Point Cutting Plane Methods / rank @@
+Normal rank
@@ Property / cites work @@
+MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
+Normal rank
@@ Property / cites work @@
+Large-Scale Portfolio Optimization
@@ Property / cites work: Large-Scale Portfolio Optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Large scale portfolio optimization with piecewise linear transaction costs
+Normal rank
@@ Property / cites work @@
+Convex Analysis
@@ Property / cites work: Convex Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
+Normal rank
@@ Property / cites work @@
+Parameter-free convex equivalent and dual programs of fractional programming problems
+Normal rank
@@ Property / cites work @@
+Asset/liability management under uncertainty for fixed-income securities
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5299910