A portfolio optimization model with nonconvex costs (Q5458719)
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scientific article; zbMATH DE number 5267095
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| English | A portfolio optimization model with nonconvex costs |
scientific article; zbMATH DE number 5267095 |
Statements
23 April 2008
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nonconvex transaction costs
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mean-absolute deviation
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feasible direction algorithm
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the regularization function
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0.847835123538971
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0.8359354138374329
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0.8274888396263123
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0.8264167308807373
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