Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs

DOI10.1007/s10898-004-2703-xzbMath1123.90078OpenAlexW1996859694MaRDI QIDQ2576446

Rei Yamamoto, Hiroshi Konno

Publication date: 13 December 2005

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10898-004-2703-x

zbMATH Keywords

Global optimizationBranch and bound algorithm0-1 integer programmingNonconvex transaction costPortfolio optimization

Mathematics Subject Classification ID

Mixed integer programming (90C11) Interior-point methods (90C51) Portfolio theory (91G10)

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Cites Work

• Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints
• Minimal concave cost rebalance of a portfolio to the efficient frontier
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Decomposition branch and bound method for globally solving linearly constrained indefinite quadratic minimization problems
• MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS
• Mean-absolute deviation portfolio optimization model under transaction costs
• An Algorithm for Separable Nonconvex Programming Problems

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