DC programming approach for portfolio optimization under step increasing transaction costs
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Cites work
- A D.C. Optimization Algorithm for Solving the Trust-Region Subproblem
- Applications of Global Optimization to Portfolio Analysis
- Collusive game solutions via optimization
- Decomposition branch and bound method for globally solving linearly constrained indefinite quadratic minimization problems
- Discrete tomography by convex--concave regularization and D.C. programming
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs
- scientific article; zbMATH DE number 1266748 (Why is no real title available?)
- Integer programming approaches in mean-risk models
- Mean-variance portfolio optimal problem under concave transaction cost
- Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints
- Portfolio optimization with linear and fixed transaction costs
- Portfolio Selection with Transaction Costs
- The DC (Difference of convex functions) programming and DCA revisited with DC models of real world nonconvex optimization problems
Cited in
(18)- DC programming and DCA: thirty years of developments
- A branch-and-bound algorithm embedded with DCA for DC programming
- Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs
- Dealing with complex transaction costs in portfolio management
- Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm
- Variations and extension of the convex-concave procedure
- Twenty years of linear programming based portfolio optimization
- Solving the index tracking problem: a continuous optimization approach
- A sequential convex approximation algorithm for portfolio optimization model
- Robust investment strategies with discrete asset choice constraints using DC programming
- A difference of convex formulation of value-at-risk constrained optimization
- An efficient DC programming approach for portfolio decision with higher moments
- A DC programming approach for a class of bilevel programming problems and its application in portfolio selection
- Fuzzy portfolio optimization with tax, transaction cost and investment amount: a developing country case
- The maximum ratio clique problem: A continuous optimization approach and some new results
- DC programming approaches for discrete portfolio optimization under concave transaction costs
- Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints
- Global solution algorithms for DC programming via polyhedral approximations of convex functions
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