An algorithm for portfolio optimization with variable transaction costs. II: Computational analysis (Q2483030)
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scientific article; zbMATH DE number 5270734
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| English | An algorithm for portfolio optimization with variable transaction costs. II: Computational analysis |
scientific article; zbMATH DE number 5270734 |
Statements
An algorithm for portfolio optimization with variable transaction costs. II: Computational analysis (English)
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5 May 2008
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Convex programming
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Portfolio optimization
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Variable transaction costs
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0.949059784412384
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0.8742796778678894
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0.8333301544189453
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0.8279538750648499
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0.8241608142852783
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