Index-plus-alpha tracking under concave transaction cost

DOI10.3934/JIMO.2005.1.87MaRDI QIDQ1780349zbMATH OpenOpenAlexFDO

Authors Hiroshi Konno, Tomokazu Hatagi

Publication date 7 June 2005

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2005.1.87

zbMATH Keywords

branch and bound methodconcave minimizationconcave transaction costindex trackingportfolio optimization

Mathematics Subject Classification ID

Dynamical systems in optimization and economics (37N40) Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57)

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