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

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Latest revision as of 16:26, 8 July 2024

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Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
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    Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs (English)
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    30 June 2014
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    large-scale optimization
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    stochastic programming
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    portfolio optimization
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    transaction costs
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    fat-tailed returns
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