Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
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Publication:2247929
DOI10.1007/s10957-013-0348-yzbMath1300.91043MaRDI QIDQ2247929
Miguel A. Lejeune, Tiago Pascoal Filomena
Publication date: 30 June 2014
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-013-0348-y
stochastic programming; large-scale optimization; portfolio optimization; transaction costs; fat-tailed returns
90C15: Stochastic programming
90C59: Approximation methods and heuristics in mathematical programming
91G10: Portfolio theory
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