scientific article; zbMATH DE number 5008177

MaRDI QIDQ3371138zbMATH OpenFDO

Authors

Publication date 21 February 2006

zbMATH Keywords

semi-absolute deviation risk function

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Mixed integer programming (90C11) Applications of mathematical programming (90C90) Portfolio theory (91G10)

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(10)

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• Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
• Rebalance schedule optimization of a large scale portfolio under transaction cost
• Optimal rebalancing of portfolios with transaction costs
• Sparse portfolio rebalancing model based on inverse optimization
• Rebalance Your Portfolio Without Selling
• Portfolio rebalancing model using multiple criteria

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