An algorithm for portfolio optimization with variable transaction costs. II: Computational analysis
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Publication:2483030
DOI10.1007/S10957-007-9249-2zbMATH Open1143.90026OpenAlexW2100939679WikidataQ126211902 ScholiaQ126211902MaRDI QIDQ2483030FDOQ2483030
Authors: Michael J. Best, Jaroslava Hlouskova 
Publication date: 5 May 2008
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-007-9249-2
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Cites Work
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- Interior path following primal-dual algorithms. II: Convex quadratic programming
- A Polynomial-Time Primal-Dual Affine Scaling Algorithm for Linear and Convex Quadratic Programming and Its Power Series Extension
- An \(O(n^ 3L)\) primal interior point algorithm for convex quadratic programming
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- The Symmetric Formulation of the Simplex Method for Quadratic Programming
- An algorithm for portfolio optimization with variable transaction costs. I: Theory
- An algorithm for portfolio optimization with transaction costs
Cited In (8)
- An algorithm for portfolio optimization with transaction costs
- Quadratic programming with transaction costs
- An algorithm for portfolio optimization with variable transaction costs. I: Theory
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
- Degeneracy resolution for bilinear utility functions
- Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
- A method for portfolio choice with transaction costs
- A class of chance constrained multi-objective portfolio selection model under fuzzy random environment
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