Quadratic programming with transaction costs

DOI10.1016/J.COR.2006.02.013MaRDI QIDQ2384580zbMATHOpenAlexFDO

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

zbMATH Keywords

active set algorithmportfolio optimizationtransaction costsQuadratic programming

Mathematics Subject Classification ID

Quadratic programming (90C20)

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Cites work

• scientific article; zbMATH DE number 680244 (Why is no real title available?)
• An algorithm for portfolio optimization with transaction costs
• Equivalence of some quadratic programming algorithms
• LOQO:an interior point code for quadratic programming
• Portfolio selection and transactions costs

Cited in

(8)

• An algorithm for portfolio optimization with variable transaction costs. II: Computational analysis
• An algorithm for portfolio optimization with variable transaction costs. I: Theory
• An algorithm for portfolio optimization with transaction costs
• A linear programming algorithm for optimal portfolio selection with transaction costs
• Fast quadratic programming for mean-variance portfolio optimisation
• Multi-period portfolio management and a simple method for calculating the realized return with transaction costs
• A new portfolio rebalancing model with transaction costs
• A simple algorithm to incorporate transactions costs in quadratic optimization

Describes a project that uses

Uses Software

• LOQO

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