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

DOI10.1007/S00291-008-0152-5zbMATH Open1183.91161OpenAlexW2043087822MaRDI QIDQ2267384FDOQ2267384

Authors: 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

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• scientific article; zbMATH DE number 797369

zbMATH Keywords

non-convex optimizationportfolio selectiontransaction costs

Mathematics Subject Classification ID

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

Cites Work

• Portfolio optimization with linear and fixed transaction costs
• Computational study of a family of mixed-integer quadratic programming problems
• Title not available (Why is that?)
• 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
• Portfolio management with heuristic optimization.
• The Optimal Selection of Small Portfolios
• A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs
• Title not available (Why is that?)

Cited In (7)

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

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