Optimal portfolio selection for the small investor considering risk and transaction costs

DOI10.1007/s00291-008-0152-5zbMath1183.91161OpenAlexW2043087822MaRDI QIDQ2267384

Rainer Baule

Publication date: 1 March 2010

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00291-008-0152-5

zbMATH Keywords

transaction costsnon-convex optimizationportfolio selection

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Related Items (5)

An optimal time-management policy for labor supply and consumption decisions ⋮ Uncertain portfolio adjusting model using semiabsolute deviation ⋮ Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs ⋮ Dealing with complex transaction costs in portfolio management ⋮ Twenty years of linear programming based portfolio optimization

Cites Work

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• Heuristic algorithms for the portfolio selection problem with minimum transaction lots
• Optimization of cardinality constrained portfolios with a hybrid local search algorithm
• Heuristics for cardinality constrained portfolio optimization
• Computational study of a family of mixed-integer quadratic programming problems
• Portfolio optimization with linear and fixed transaction costs
• The Optimal Selection of Small Portfolios
• A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs

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