Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints

DOI10.1023/A:1013850928936zbMath1045.91022MaRDI QIDQ598593

Hiroshi Konno, Annista Wijayanayake

Publication date: 12 August 2004

Published in: Journal of Global Optimization (Search for Journal in Brave)

zbMATH Keywords

D.c. programming; Mean-absolute deviation model; Minimal transaction unit constraint; Nonconvex transaction cost; Portfolio optimization

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

91G10: Portfolio theory

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