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

DOI10.1007/S10957-007-9249-2MaRDI QIDQ2483030zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

Portfolio optimizationConvex programmingVariable transaction costs

Mathematics Subject Classification ID

Convex programming (90C25)

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Cites work

• scientific article; zbMATH DE number 3920182 (Why is no real title available?)
• scientific article; zbMATH DE number 3177183 (Why is no real title available?)
• 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
• An algorithm for portfolio optimization with transaction costs
• An algorithm for portfolio optimization with variable transaction costs. I: Theory
• Interior path following primal-dual algorithms. II: Convex quadratic programming
• The Symmetric Formulation of the Simplex Method for Quadratic Programming

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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Uses Software

• Mosek

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