Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints (Q5944952)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints |
scientific article; zbMATH DE number 1655718
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints |
scientific article; zbMATH DE number 1655718 |
Statements
Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints (English)
0 references
10 October 2001
0 references
branch and bound algorithm
0 references
globally optimal solution
0 references
portfolio construction/rebalancing
0 references
concave transaction costs
0 references
minimal transaction unit constraints
0 references
0.9164721369743348
0 references
0.8863825798034668
0 references
0.8780381679534912
0 references
