An optimal portfolio selection model with transaction costs under the constraint of higher moments

MaRDI QIDQ3402722zbMATH OpenFDO

Authors Zhijuan Chen, Zhongxing Ye

Publication date 12 February 2010

zbMATH Keywords

linear programmingoptimal portfoliotransaction costs

Mathematics Subject Classification ID

Linear programming (90C05) Multi-objective and goal programming (90C29) Portfolio theory (91G10)

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• Advancement of Optimal Portfolio Models with Short-Sales and Transaction Costs: Methodology and Effectiveness
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