Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints (Q598593)
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scientific article; zbMATH DE number 2088639
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| English | Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints |
scientific article; zbMATH DE number 2088639 |
Statements
Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints (English)
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12 August 2004
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Portfolio optimization
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D.c. programming
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Nonconvex transaction cost
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Minimal transaction unit constraint
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Mean-absolute deviation model
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0.9164721369743348
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0.8576864004135132
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0.857466995716095
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0.847154438495636
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0.8458040356636047
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