Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs (Q2247929): Difference between revisions
From MaRDI portal
Changed an Item |
Changed an Item |
||
| Property / describes a project that uses | |||
| Property / describes a project that uses: PSG / rank | |||
Normal rank | |||
Revision as of 22:05, 28 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs |
scientific article |
Statements
Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs (English)
0 references
30 June 2014
0 references
large-scale optimization
0 references
stochastic programming
0 references
portfolio optimization
0 references
transaction costs
0 references
fat-tailed returns
0 references
