Primal-dual methods for the computation of trading regions under proportional transaction costs

DOI10.1007/s00186-012-0416-3zbMath1258.49042MaRDI QIDQ1939506

Jörn Sass, Karl Kunisch, Roland Griesse

Publication date: 4 March 2013

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: http://unipub.uni-graz.at/doi/doi:10.1007/s00186-012-0416-3

zbMATH Keywords

portfolio optimization; transaction costs; augmented Lagrangian method; semi-smooth Newton method; complementarity problem

Mathematics Subject Classification ID

49M15: Newton-type methods

49M25: Discrete approximations in optimal control

91G10: Portfolio theory

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