Portfolio Selection under Piecewise Affine Transaction Costs: An Integer Quadratic Formulation

DOI10.1007/978-3-540-87477-5_21MaRDI QIDQ3627693zbMATH OpenOpenAlexFDO

Authors Mohamed Lemrabott, Serigne Gueye, Adnan Yassine, Yves Rakotondratsimba

Publication date 13 May 2009

Published in Communications in Computer and Information Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-87477-5_21

zbMATH Keywords

integer quadratic programminglinearizationpiecewise transaction costsportfolio selection

Mathematics Subject Classification ID

Integer programming (90C10) Quadratic programming (90C20)

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Cites work

• Exact solution of multicommodity network optimization problems with general step cost functions
• Heuristic algorithms for the portfolio selection problem with minimum transaction lots
• Models for representing piecewise linear cost functions
• On an Investment-Consumption Model with Transaction Costs
• Optimal Impulse Control of Portfolios
• Optimal investment and consumption with transaction costs
• Portfolio Selection with Transaction Costs

Cited in

(3)

• Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs
• An integer programming algorithm for portfolio selection with fixed charges
• Selecting portfolios with fixed costs and minimum transaction lots

Describes a project that uses

Uses Software

• CPLEX

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