Portfolio optimization with linear and fixed transaction costs
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Cites work
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- scientific article; zbMATH DE number 3307153 (Why is no real title available?)
- A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs
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Cited in
(98)- Large-Scale Portfolio Optimization
- Portfolio optimization with transaction costs: a two-period mean-variance model
- On minimal valid inequalities for mixed integer conic programs
- Dealing with complex transaction costs in portfolio management
- Rebalancing with Linear and Quadratic Costs
- Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
- Portfolio analysis with transaction costs under uncertainty
- An algorithm for portfolio optimization with transaction costs
- A cooperative bargaining framework for decentralized portfolio optimization
- Log-robust portfolio management after transaction costs
- Expected value multiobjective portfolio rebalancing model with fuzzy parameters
- Portfolio optimization model with transaction costs.
- Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs
- Cuts for mixed 0-1 conic programming
- DC programming approach for portfolio optimization under step increasing transaction costs
- An extrapolated iteratively reweighted \(\ell_1\) method with complexity analysis
- Optimization of a long-short portfolio under nonconvex transaction cost
- Robust multi-sensor scheduling for multi-site surveillance
- Optimization of a quadratic programming problem over an Integer efficient set
- Sparsest representations and approximations of an underdetermined linear system
- Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
- Adaptive robust online portfolio selection
- A new portfolio rebalancing model with transaction costs
- An optimisation approach to constructing an exchange-traded fund
- Linear versus quadratic portfolio optimization model with transaction cost
- Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
- Multi-market portfolio optimization with conditional value at risk
- Almost exact risk budgeting with return forecasts for portfolio allocation
- High-dimensional sparse index tracking based on a multi-step convex optimization approach
- Design of \(\mathcal H_2\) \((\mathcal H_\infty)\)-based optimal structured and sparse static output feedback gains
- Are financial ratios relevant for trading credit risk? Evidence from the CDS market
- An algorithm for portfolio optimization with variable transaction costs. II: Computational analysis
- An algorithm for portfolio optimization with variable transaction costs. I: Theory
- Scenario Generation for Single-Period Portfolio Selection Problems with Tail Risk Measures: Coping with High Dimensions and Integer Variables
- Smoothing and regularization for mixed-integer second-order cone programming with applications in portfolio optimization
- Multi-period portfolio management and a simple method for calculating the realized return with transaction costs
- Periodic portfolio revision with transaction costs
- Low order-value approach for solving var-constrained optimization problems
- Convex optimization approaches to maximally predictable portfolio selection
- A maximum entropy method for a robust portfolio problem
- Portfolio optimization under long-short constraints
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
- Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
- Data-driven portfolio management with quantile constraints
- An optimal time-management policy for labor supply and consumption decisions
- Application of artificial bee colony algorithm to portfolio adjustment problem with transaction costs
- Tax-aware portfolio construction via convex optimization
- The DTC (difference of tangentially convex functions) programming: optimality conditions
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- Cutting-planes for weakly-coupled 0/1 second order cone programs
- Fuzzy portfolio optimization with tax, transaction cost and investment amount: a developing country case
- Relaxed maximum a posteriori fault identification
- MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS
- Exact and heuristic approaches for the index tracking problem with UCITS constraints
- An efficient optimization approach for a cardinality-constrained index tracking problem
- Selecting portfolios with fixed costs and minimum transaction lots
- A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs
- Wavelet evolutionary network for complex-constrained portfolio rebalancing
- The sparse portfolio optimization with stochastic dominance and background risk and the slqpso algorithm
- A robust mean absolute deviation model for portfolio optimization
- Nonconvex and nonsmooth sparse optimization via adaptively iterative reweighted methods
- A Nonconvex Optimization Approach to IMRT Planning with Dose–Volume Constraints
- Portfolio selection and transactions costs
- A hybrid optimization approach to index tracking
- VaR optimal portfolio with transaction costs
- A possibilistic programming approach to portfolio optimization problem under fuzzy data
- A VaR Black-Litterman model for the construction of absolute return fund-of-funds
- Gray wolf optimization algorithm for multi-constraints second-order stochastic dominance portfolio optimization
- Sparse portfolio selection via Bayesian multiple testing
- Sparse portfolio rebalancing model based on inverse optimization
- Cardinality constrained multi-period mean-variance portfolio optimization with regime-switching parameters
- Portfolio construction as linearly constrained separable optimization
- Successive smoothing algorithm for solving large-scale optimization models with fixed cost
- Optimal portfolio selection for the small investor considering risk and transaction costs
- Matrix decomposition and Lagrangian dual method for discrete portfolio optimization under concave transaction costs
- Enhancing sparsity by reweighted \(\ell _{1}\) minimization
- Strong formulations for quadratic optimization with M-matrices and indicator variables
- A mixed 0--1 LP for index tracking problem with CVaR risk constraints
- Time-varying minimum-cost portfolio insurance under transaction costs problem via beetle antennae search algorithm (BAS)
- Time-varying mean-variance portfolio selection under transaction costs and cardinality constraint problem via beetle antennae search algorithm (BAS)
- Cardinality versus \(q\)-norm constraints for index tracking
- Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach
- Fuzzy multi-period portfolio selection model with discounted transaction costs
- Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints
- Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach
- Twenty years of linear programming based portfolio optimization
- Chance-constrained games with mixture distributions
- A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint
- Extended formulations in mixed integer conic quadratic programming
- Uncertain portfolio adjusting model using semiabsolute deviation
- Large scale portfolio optimization with piecewise linear transaction costs
- Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs
- A unified approach to portfolio optimization with linear transaction costs
- Portfolio analysis with general commission
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Green transition, investment horizon, and dynamic portfolio decisions
- Mean-variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem
- On a Reduction for a Class of Resource Allocation Problems
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