Large scale portfolio optimization with piecewise linear transaction costs (Q3605210)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large scale portfolio optimization with piecewise linear transaction costs |
scientific article |
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Large scale portfolio optimization with piecewise linear transaction costs (English)
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23 February 2009
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portfolio optimization
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quadratic programming
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piecewise differentiable functions
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separable problems
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