Primal-dual methods for the computation of trading regions under proportional transaction costs (Q1939506): Difference between revisions
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Revision as of 13:09, 11 February 2024
scientific article
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| English | Primal-dual methods for the computation of trading regions under proportional transaction costs |
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Primal-dual methods for the computation of trading regions under proportional transaction costs (English)
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4 March 2013
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portfolio optimization
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transaction costs
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complementarity problem
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semi-smooth Newton method
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augmented Lagrangian method
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