Quadratic programming with transaction costs
From MaRDI portal
Publication:2384580
DOI10.1016/J.COR.2006.02.013zbMATH Open1168.91376OpenAlexW2091883123MaRDI QIDQ2384580FDOQ2384580
Authors: Michael J. Best, Jaroslava Hlouskova 
Publication date: 10 October 2007
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cor.2006.02.013
Recommendations
- An algorithm for portfolio optimization with transaction costs
- An algorithm for portfolio optimization with variable transaction costs. I: Theory
- A linear programming algorithm for optimal portfolio selection with transaction costs
- A simple algorithm to incorporate transactions costs in quadratic optimization
- An algorithm for portfolio optimization with variable transaction costs. II: Computational analysis
Cites Work
Cited In (7)
- An algorithm for portfolio optimization with transaction costs
- A simple algorithm to incorporate transactions costs in quadratic optimization
- A new portfolio rebalancing model with transaction costs
- An algorithm for portfolio optimization with variable transaction costs. II: Computational analysis
- An algorithm for portfolio optimization with variable transaction costs. I: Theory
- Multi-period portfolio management and a simple method for calculating the realized return with transaction costs
- A linear programming algorithm for optimal portfolio selection with transaction costs
Uses Software
This page was built for publication: Quadratic programming with transaction costs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2384580)
