An algorithm for portfolio optimization with variable transaction costs. II: Computational analysis

DOI10.1007/s10957-007-9249-2zbMath1143.90026OpenAlexW2100939679WikidataQ126211902 ScholiaQ126211902MaRDI QIDQ2483030

Jaroslava Hlouskova, Michael J. Best

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

zbMATH Keywords

Convex programmingPortfolio optimizationVariable transaction costs

Mathematics Subject Classification ID

Convex programming (90C25)

Related Items (3)

Degeneracy resolution for bilinear utility functions ⋮ A class of chance constrained multi-objective portfolio selection model under fuzzy random environment ⋮ Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs

Uses Software

• Mosek

Cites Work

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• Interior path following primal-dual algorithms. II: Convex quadratic programming
• An algorithm for portfolio optimization with variable transaction costs. I: Theory
• An \(O(n^ 3L)\) primal interior point algorithm for convex quadratic programming
• An Algorithm for Portfolio Optimization with Transaction Costs
• A Polynomial-Time Primal-Dual Affine Scaling Algorithm for Linear and Convex Quadratic Programming and Its Power Series Extension
• The Symmetric Formulation of the Simplex Method for Quadratic Programming

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