Mean-variance portfolio optimal problem under concave transaction cost (Q2490186)
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scientific article; zbMATH DE number 5021268
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| English | Mean-variance portfolio optimal problem under concave transaction cost |
scientific article; zbMATH DE number 5021268 |
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Mean-variance portfolio optimal problem under concave transaction cost (English)
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28 April 2006
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Mean-variance
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Concave transaction cost
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Globally optimal portfolio
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Branch and bound algorithm
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Efficient frontier
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0.8863825798034668
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0.8521422743797302
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0.8433301448822021
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0.8358131647109985
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