An Algorithm for Portfolio Optimization with Transaction Costs (Q3115937)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Algorithm for Portfolio Optimization with Transaction Costs |
scientific article |
Statements
An Algorithm for Portfolio Optimization with Transaction Costs (English)
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21 February 2012
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convex programming
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portfolio optimization
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transaction costs
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\texttt{CPLEX}
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