Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs (Q2247929): Difference between revisions

@@ Property / author @@
-Tiago Pascoal Filomena
@@ Property / author: Tiago Pascoal Filomena / rank @@
-Normal rank
@@ Property / author @@
+Tiago Pascoal Filomena
@@ Property / author: Tiago Pascoal Filomena / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+CPLEX
@@ Property / describes a project that uses: CPLEX / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10957-013-0348-y
+Normal rank
@@ Property / OpenAlex ID @@
+W2071045682
@@ Property / OpenAlex ID: W2071045682 / rank @@
+Normal rank
@@ Property / cites work @@
+An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
+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 @@
+An Algorithm for Portfolio Optimization with Transaction Costs
+Normal rank
@@ Property / cites work @@
+An algorithm for portfolio optimization with variable transaction costs. I: Theory
+Normal rank
@@ Property / cites work @@
+An algorithm for portfolio optimization with variable transaction costs. II: Computational analysis
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
+Normal rank
@@ Property / cites work @@
+Robust portfolios: contributions from operations research and finance
+Normal rank
@@ Property / cites work @@
+Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
+Normal rank
@@ Property / cites work @@
+Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
+Normal rank
@@ Property / cites work @@
+Safety First and the Holding of Assets
@@ Property / cites work: Safety First and the Holding of Assets / rank @@
+Normal rank
@@ Property / cites work @@
+Asset-liability management under the safety-first principle
+Normal rank
@@ Property / cites work @@
+A Stochastic Programming Model
@@ Property / cites work: A Stochastic Programming Model / rank @@
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+A mixed integer programming model for multistage mean-variance post-tax optimization
+Normal rank
@@ Property / cites work @@
+No-arbitrage conditions, scenario trees, and multi-asset financial optimization
+Normal rank
@@ Property / cites work @@
+Stochastic and robust control of nonlinear economic systems
+Normal rank
@@ Property / cites work @@
+Growth versus security tradeoffs in dynamic investment analysis
+Normal rank
@@ Property / cites work @@
+Multi-period portfolio optimization with linear control policies
+Normal rank
@@ Property / cites work @@
+An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Local branching
@@ Property / cites work: Local branching / rank @@
+Normal rank
@@ Property / cites work @@
+Q4838490
@@ Property / cites work: Q4838490 / rank @@
+Normal rank
@@ Property / cites work @@
+A VaR Black–Litterman model for the construction of absolute return fund-of-funds
+Normal rank
@@ Property / cites work @@
+Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
+Normal rank
@@ Property / cites work @@
+Portfolio selection with higher moments
@@ Property / cites work: Portfolio selection with higher moments / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio optimization for student<i>t</i>and skewed<i>t</i>returns
+Normal rank
@@ Property / cites work @@
+Robust portfolio optimization
@@ Property / cites work: Robust portfolio optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Q3996150
@@ Property / cites work: Q3996150 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
+Normal rank
@@ Property / cites work @@
+The likelihood of various stock market return distributions. I: Principles of inference
+Normal rank
@@ Property / cites work @@
+Multivariate T-Distributions and Their Applications
+Normal rank
@@ Property / cites work @@
+Measures of multivariate skewness and kurtosis with applications
+Normal rank
@@ Property / cites work @@
+Q4378664
@@ Property / cites work: Q4378664 / rank @@
+Normal rank
@@ Property / cites work @@
+A FAST ALGORITHM FOR SOLVING LARGE SCALE MEAN-VARIANCE MODELS BY COMPACT FACTORIZATION OF COVARIANCE MATRICES
+Normal rank
@@ Property / cites work @@
+A local branching heuristic for the capacitated fixed-charge network design problem
+Normal rank
@@ Property / cites work @@
+Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
+Normal rank