MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS (Q3523608)
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scientific article; zbMATH DE number 5320155
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| English | MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS |
scientific article; zbMATH DE number 5320155 |
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MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS (English)
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3 September 2008
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portfolio optimization
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index tracking
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concave transaction cost
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minimal transaction unit
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branch and bound algorithm
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mean-absolute deviation model
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0.8638913631439209
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0.838371992111206
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0.8359124064445496
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0.8205896615982056
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0.8143883943557739
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