Large scale portfolio optimization with piecewise linear transaction costs
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Publication:3605210
DOI10.1080/00207160802263858zbMath1154.91470OpenAlexW2132210054MaRDI QIDQ3605210
Marina Potaptchik, Tunçel, Levent, Henry Wolkowicz
Publication date: 23 February 2009
Published in: Optimization Methods and Software (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160802263858
Applications of statistics to actuarial sciences and financial mathematics (62P05) Quadratic programming (90C20) Sensitivity, stability, parametric optimization (90C31) Interior-point methods (90C51) Portfolio theory (91G10)
Related Items (6)
Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs ⋮ Multi-market portfolio optimization with conditional value at risk ⋮ VaR optimal portfolio with transaction costs ⋮ Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study ⋮ Low order-value approach for solving var-constrained optimization problems ⋮ A cooperative bargaining framework for decentralized portfolio optimization
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