An algorithm for portfolio optimization with variable transaction costs. I: Theory

DOI10.1007/s10957-007-9252-7zbMath1143.90027OpenAlexW1969251391MaRDI QIDQ2483032

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/s10957-007-9252-7

zbMATH Keywords

convex programmingportfolio optimizationvariable transaction costs

Mathematics Subject Classification ID

Convex programming (90C25) Portfolio theory (91G10)

Related Items (4)

An optimal time-management policy for labor supply and consumption decisions ⋮ Degeneracy resolution for bilinear utility functions ⋮ Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs ⋮ An algorithm for portfolio optimization with variable transaction costs. II: Computational analysis

Uses Software

• Mosek

Cites Work

• Unnamed Item
• Portfolio selection and transactions costs
• Quadratic programming with transaction costs
• An Algorithm for Portfolio Optimization with Transaction Costs
• A Class of Accelerated Conjugate Direction Methods for Linearly Constrained Minimization Problems

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