Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs (Q2576446): Difference between revisions

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+https://doi.org/10.1007/s10898-004-2703-x
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+W1996859694
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+An Algorithm for Separable Nonconvex Programming Problems
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+Mean-absolute deviation portfolio optimization model under transaction costs
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+Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints
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+MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS
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+Minimal concave cost rebalance of a portfolio to the efficient frontier
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+From stochastic dominance to mean-risk models: Semideviations as risk measures
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+Decomposition branch and bound method for globally solving linearly constrained indefinite quadratic minimization problems
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