scientific article; zbMATH DE number 1336607

DOI10.1002/(SICI)1099-0747(199812)14:4%3C275::AID-ASM364%3E3.0.CO;2-PMaRDI QIDQ4258744zbMATH OpenFDO

Authors

Publication date 14 September 1999

zbMATH Keywords

portfolio optimizationtransaction costsseparable programming

Mathematics Subject Classification ID

Portfolio theory (91G10) Mixed integer programming (90C11)

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(8)

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• Mean-variance lower-semi-variance portfolio model with transaction costs
• Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network
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• Optimization ofN-risky asset portfolios with stochastic variance and transaction costs
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