A simple algorithm to incorporate transactions costs in quadratic optimization

DOI10.1016/0377-2217(94)90397-2zbMath0837.90010OpenAlexW2086705997MaRDI QIDQ1342041

C. J. Adcock, Nigel Meade

Publication date: 12 May 1996

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-2217(94)90397-2

zbMATH Keywords

financetransaction costportfolio selectionminimum absolute deviationsequity index tracking fundportfolio performancetactical asset allocation

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Quadratic programming (90C20)

Related Items (8)

Enhanced index tracking with CVaR-based ratio measures ⋮ Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs ⋮ MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS ⋮ On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH ⋮ Dynamic portfolio management under competing representations ⋮ An evolutionary heuristic for the index tracking problem. ⋮ Wavelet evolutionary network for complex-constrained portfolio rebalancing ⋮ Heuristics for cardinality constrained portfolio optimization

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