Portfolio optimization with linear and fixed transaction costs (Q2480252)

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Portfolio optimization with linear and fixed transaction costs
scientific article

    Statements

    title
    Portfolio optimization with linear and fixed transaction costs (English)
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    author
    Miguel Sousa Lobo
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    Maryam Fazel
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    Stephen P. Boyd
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    publication date
    31 March 2008
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    zbMATH Keywords
    portfolio optimization
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    transaction costs
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    convex programming
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    describes a project that uses
    SOCP
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    SeDuMi
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    SDPpack
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    PDCO
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    Mosek
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    Identifiers

    zbMATH DE Number
    5255843
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    OpenAlex ID
    W2155681181
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    Wikidata QID
    Q114830238
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