A linear programming algorithm for optimal portfolio selection with transaction costs

DOI10.1080/002077200291514zbMath1080.93573OpenAlexW2055596203MaRDI QIDQ3366323

Shou-Yang Wang, Zhong-Fei Li, Xiaotie Deng

Publication date: 14 February 2006

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/002077200291514

Mathematics Subject Classification ID

Systems theory; control (93-XX)

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