Portfolio optimization with linear and fixed transaction costs (Q2480252): Difference between revisions

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+The Optimal Selection of Small Portfolios
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+Atomic Decomposition by Basis Pursuit
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+A new polynomial-time algorithm for linear programming
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+Selecting portfolios with fixed costs and minimum transaction lots
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+Branch-and-Bound Methods: A Survey
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+Applications of second-order cone programming
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+Products of trees for investment analysis
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+Sufficient conditions for the convergence of monotonic mathematical programming algorithms
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+A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs
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+Large-Scale Portfolio Optimization
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+Safety First and the Holding of Assets
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+Semidefinite Programming
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