Primal-dual methods for the computation of trading regions under proportional transaction costs (Q1939506)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Primal-dual methods for the computation of trading regions under proportional transaction costs |
scientific article |
Statements
Primal-dual methods for the computation of trading regions under proportional transaction costs (English)
0 references
4 March 2013
0 references
portfolio optimization
0 references
transaction costs
0 references
complementarity problem
0 references
semi-smooth Newton method
0 references
augmented Lagrangian method
0 references
