Dealing with complex transaction costs in portfolio management
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Publication:2241051
DOI10.1007/s10479-019-03210-5zbMath1480.91262OpenAlexW2938041225MaRDI QIDQ2241051
Massimiliano Ferrara, Claudio Ciancio, Antonio Violi, Bruno Antonio Pansera, Patrizia Beraldi
Publication date: 8 November 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-019-03210-5
Mixed integer programming (90C11) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Portfolio theory (91G10)
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