Large scale portfolio optimization with piecewise linear transaction costs (Q3605210)
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scientific article; zbMATH DE number 5509813
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| default for all languages | No label defined |
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| English | Large scale portfolio optimization with piecewise linear transaction costs |
scientific article; zbMATH DE number 5509813 |
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Large scale portfolio optimization with piecewise linear transaction costs (English)
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23 February 2009
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portfolio optimization
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quadratic programming
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piecewise differentiable functions
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separable problems
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0.9310965
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0.92442054
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0.9229773
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0.91635567
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0.91572624
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0.9089806
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0.9034326
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0.8989389
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