Large scale portfolio optimization with piecewise linear transaction costs
DOI10.1080/00207160802263858zbMATH Open1154.91470OpenAlexW2132210054MaRDI QIDQ3605210FDOQ3605210
Authors: Marina Potaptchik, Levent Tunçel, Henry Wolkowicz 
Publication date: 23 February 2009
Published in: Optimization Methods \& Software (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160802263858
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Quadratic programming (90C20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interior-point methods (90C51) Portfolio theory (91G10) Sensitivity, stability, parametric optimization (90C31)
Cited In (13)
- Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
- Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
- A cooperative bargaining framework for decentralized portfolio optimization
- Multi-market portfolio optimization with conditional value at risk
- An algorithm for portfolio optimization with variable transaction costs. II: Computational analysis
- An algorithm for portfolio optimization with variable transaction costs. I: Theory
- Low order-value approach for solving var-constrained optimization problems
- Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
- Portfolio optimization with linear and fixed transaction costs
- VaR optimal portfolio with transaction costs
- Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs
- A unified approach to portfolio optimization with linear transaction costs
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