Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments (Q439922): 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 / 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/10.1016/j.orl.2012.01.003
+Normal rank
@@ Property / OpenAlex ID @@
+W2075545861
@@ Property / OpenAlex ID: W2075545861 / rank @@
+Normal rank
@@ Property / cites work @@
+Second-order cone programming
@@ Property / cites work: Second-order cone programming / rank @@
+Normal rank
@@ Property / cites work @@
+Q3861108
@@ Property / cites work: Q3861108 / rank @@
+Normal rank
@@ Property / cites work @@
+An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
+Normal rank
@@ Property / cites work @@
+Q4821526
@@ Property / cites work: Q4821526 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimization Methods in Finance
@@ Property / cites work: Optimization Methods in Finance / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
+Normal rank
@@ Property / cites work @@
+Computing the nearest correlation matrix--a problem from finance
+Normal rank
@@ Property / cites work @@
+Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
+Normal rank
@@ Property / cites work @@
+Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
+Normal rank
@@ Property / cites work @@
+A Stochastic Programming Model
@@ Property / cites work: A Stochastic Programming Model / rank @@
+Normal rank
@@ Property / cites work @@
+Selecting portfolios with fixed costs and minimum transaction lots
+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 VaR Black–Litterman model for the construction of absolute return fund-of-funds
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with linear and fixed transaction costs
+Normal rank
@@ Property / cites work @@
+Portfolio management with heuristic optimization.
@@ Property / cites work: Portfolio management with heuristic optimization. / rank @@
+Normal rank
@@ Property / cites work @@
+MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
+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 @@
+Conditional value-at-risk in stochastic programs with mixed-integer recourse
+Normal rank
@@ Property / cites work @@
+Robust asset allocation
@@ Property / cites work: Robust asset allocation / rank @@
+Normal rank
@@ Property / cites work @@
+Q5429818
@@ Property / cites work: Q5429818 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:439922