An algorithm for portfolio optimization with variable transaction costs. I: Theory (Q2483032)
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scientific article; zbMATH DE number 5270736
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| English | An algorithm for portfolio optimization with variable transaction costs. I: Theory |
scientific article; zbMATH DE number 5270736 |
Statements
An algorithm for portfolio optimization with variable transaction costs. I: Theory (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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0.9399975538253784
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0.8842017650604248
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0.8572666049003601
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0.8520007133483887
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