Large scale portfolio optimization with piecewise linear transaction costs
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Publication:3605210
DOI10.1080/00207160802263858zbMath1154.91470MaRDI QIDQ3605210
Marina Potaptchik, Tunçel, Levent, Henry Wolkowicz
Publication date: 23 February 2009
Published in: Optimization Methods and Software (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160802263858
quadratic programming; portfolio optimization; separable problems; piecewise differentiable functions
62P05: Applications of statistics to actuarial sciences and financial mathematics
90C20: Quadratic programming
90C31: Sensitivity, stability, parametric optimization
90C51: Interior-point methods
91G10: Portfolio theory
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