Portfolio optimization with linear and fixed transaction costs
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Cites work
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- 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
(95)- An algorithm for portfolio optimization with variable transaction costs. II: Computational analysis
- An algorithm for portfolio optimization with variable transaction costs. I: Theory
- Low order-value approach for solving var-constrained optimization problems
- Are financial ratios relevant for trading credit risk? Evidence from the CDS market
- Scenario Generation for Single-Period Portfolio Selection Problems with Tail Risk Measures: Coping with High Dimensions and Integer Variables
- A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs
- Selecting portfolios with fixed costs and minimum transaction lots
- Sparse portfolio selection via Bayesian multiple testing
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- Exact and heuristic approaches for the index tracking problem with UCITS constraints
- A mixed 0--1 LP for index tracking problem with CVaR risk constraints
- Application of artificial bee colony algorithm to portfolio adjustment problem with transaction costs
- Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach
- Cutting-planes for weakly-coupled \(0/1\) second order cone programs
- Large scale portfolio optimization with piecewise linear transaction costs
- Portfolio optimization model with transaction costs.
- Portfolio selection and transactions costs
- An algorithm for portfolio optimization with transaction costs
- Nonconvex and nonsmooth sparse optimization via adaptively iterative reweighted methods
- Robust multi-sensor scheduling for multi-site surveillance
- Dealing with complex transaction costs in portfolio management
- Tax-aware portfolio construction via convex optimization
- Portfolio optimization under long-short constraints
- Twenty years of linear programming based portfolio optimization
- Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints
- MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS
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- A maximum entropy method for a robust portfolio problem
- On a Reduction for a Class of Resource Allocation Problems
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- Smoothing and regularization for mixed-integer second-order cone programming with applications in portfolio optimization
- Optimal portfolio selection for the small investor considering risk and transaction costs
- Fuzzy portfolio optimization with tax, transaction cost and investment amount: a developing country case
- Multi-market portfolio optimization with conditional value at risk
- A Nonconvex Optimization Approach to IMRT Planning with Dose–Volume Constraints
- Linear versus quadratic portfolio optimization model with transaction cost
- 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
- Optimization of a quadratic programming problem over an Integer efficient set
- Multi-period portfolio management and a simple method for calculating the realized return with transaction costs
- Matrix decomposition and Lagrangian dual method for discrete portfolio optimization under concave transaction costs
- Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs
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- An optimisation approach to constructing an exchange-traded fund
- An optimal time-management policy for labor supply and consumption decisions
- A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint
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- The DTC (difference of tangentially convex functions) programming: optimality conditions
- Gray wolf optimization algorithm for multi-constraints second-order stochastic dominance portfolio optimization
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