Index-plus-alpha tracking under concave transaction cost
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Publication:1780349
DOI10.3934/jimo.2005.1.87zbMath1111.91016OpenAlexW2316752777MaRDI QIDQ1780349
Tomokazu Hatagi, Hiroshi Konno
Publication date: 7 June 2005
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2005.1.87
concave minimizationportfolio optimizationbranch and bound methodindex trackingconcave transaction cost
Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Dynamical systems in optimization and economics (37N40)
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