Primal-dual methods for the computation of trading regions under proportional transaction costs (Q1939506): Difference between revisions

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Revision as of 21:52, 19 March 2024

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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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