Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints (Q5944952)
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scientific article; zbMATH DE number 1655718
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints |
scientific article; zbMATH DE number 1655718 |
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Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints (English)
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10 October 2001
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branch and bound algorithm
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globally optimal solution
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portfolio construction/rebalancing
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concave transaction costs
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minimal transaction unit constraints
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