Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs (Q2247929)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs |
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Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs (English)
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30 June 2014
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large-scale optimization
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stochastic programming
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portfolio optimization
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transaction costs
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fat-tailed returns
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