DC programming approach for portfolio optimization under step increasing transaction costs
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Publication:3625227
DOI10.1080/02331930902741721zbMath1160.91015OpenAlexW2159455799MaRDI QIDQ3625227
Tao Pham Dinh, Mahdi Moeini, Hoai An Le Thi
Publication date: 12 May 2009
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331930902741721
Applications of mathematical programming (90C90) Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Nonconvex programming, global optimization (90C26) Portfolio theory (91G10)
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Cites Work
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