Primal-dual methods for the computation of trading regions under proportional transaction costs
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Publication:1939506
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
portfolio optimization; transaction costs; augmented Lagrangian method; semi-smooth Newton method; complementarity problem
49M15: Newton-type methods
49M25: Discrete approximations in optimal control
91G10: Portfolio theory
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