A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs
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Publication:3950281
DOI10.1287/mnsc.28.3.303zbMath0488.90014OpenAlexW2041453753MaRDI QIDQ3950281
Marti G. Subrahmanyam, Nitin R. Patel
Publication date: 1982
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.28.3.303
algorithmfinanceinvestmentsoptimal portfolio selectionfixed transaction costsspecially structured variance-covariance matrix of returns
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