Optimization of a long-short portfolio under nonconvex transaction cost

DOI10.1007/s10589-005-2056-5zbMath1085.90046OpenAlexW1999169627MaRDI QIDQ2574062

Hiroshi Konno, Keisuke Akishino, Rei Yamamoto

Publication date: 16 November 2005

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-005-2056-5

zbMATH Keywords

global optimizationbranch and bound algorithmportfolio theoryconcave costd.c. costlong-short portfolio

Mathematics Subject Classification ID

Related Items (11)

Pareto efficient buy and hold investment strategies under order book linked constraints ⋮ Time-varying mean-variance portfolio selection under transaction costs and cardinality constraint problem via beetle antennae search algorithm (BAS) ⋮ Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs ⋮ Stable solutions for optimal reinsurance problems involving risk measures ⋮ A relative robust approach on expected returns with bounded CVaR for portfolio selection ⋮ Dealing with complex transaction costs in portfolio management ⋮ Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm ⋮ Vector risk functions ⋮ Differential equations connecting VaR and CVaR ⋮ Twenty years of linear programming based portfolio optimization ⋮ Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm

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