Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs (Q2576446)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs |
scientific article |
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Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs (English)
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13 December 2005
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Branch and bound algorithm
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Global optimization
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Nonconvex transaction cost
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Portfolio optimization
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0-1 integer programming
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