MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS
From MaRDI portal
Publication:3523608
DOI10.1142/S0219024901001292zbMath1153.91531MaRDI QIDQ3523608
Hiroshi Konno, Annista Wijayanayake
Publication date: 3 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
portfolio optimization; branch and bound algorithm; index tracking; mean-absolute deviation model; concave transaction cost; minimal transaction unit
91B84: Economic time series analysis
Related Items
Cites Work
- A simple algorithm to incorporate transactions costs in quadratic optimization
- 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
- Large-Scale Portfolio Optimization
- Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
- An Algorithm for Separable Nonconvex Programming Problems