Matrix decomposition and Lagrangian dual method for discrete portfolio optimization under concave transaction costs
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Publication:3572640
DOI10.1007/s11741-009-0206-3zbMath1212.62036OpenAlexW1976317881MaRDI QIDQ3572640
Xiaoling Sun, Shitao Zhang, Zhenxing Gao
Publication date: 8 July 2010
Published in: Journal of Shanghai University (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11741-009-0206-3
Applications of statistics to actuarial sciences and financial mathematics (62P05) Mixed integer programming (90C11) Nonlinear programming (90C30) Portfolio theory (91G10)
Cites Work
- Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints
- Nonlinear integer programming
- Mean-absolute deviation portfolio optimization model under transaction costs
- THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
- OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
- Selecting portfolios with fixed costs and minimum transaction lots
- Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
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