Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints

DOI10.1007/s101070000205zbMath1014.91053MaRDI QIDQ5944952

Annista Wijayanayake, Hiroshi Konno

Publication date: 10 October 2001

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

zbMATH Keywords

branch and bound algorithmconcave transaction costsglobally optimal solutionminimal transaction unit constraintsportfolio construction/rebalancing

Mathematics Subject Classification ID

Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Portfolio theory (91G10)

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