Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
From MaRDI portal
(Redirected from Publication:439922)
Recommendations
- Portfolio optimization with linear and fixed transaction costs
- An algorithm for portfolio optimization with variable transaction costs. I: Theory
- Large scale portfolio optimization with piecewise linear transaction costs
- An algorithm for portfolio optimization with variable transaction costs. II: Computational analysis
- Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
Cites work
- scientific article; zbMATH DE number 3662819 (Why is no real title available?)
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
- A FAST ALGORITHM FOR SOLVING LARGE SCALE MEAN-VARIANCE MODELS BY COMPACT FACTORIZATION OF COVARIANCE MATRICES
- A Stochastic Programming Model
- A VaR Black-Litterman model for the construction of absolute return fund-of-funds
- An exact solution approach for portfolio optimization problems under stochastic and integer constraints
- Application of robust statistics to asset allocation models
- Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
- Computing the nearest correlation matrix--a problem from finance
- Conditional value-at-risk in stochastic programs with mixed-integer recourse
- MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
- Optimization Methods in Finance
- Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
- Portfolio management with heuristic optimization.
- Portfolio optimization with linear and fixed transaction costs
- Robust Portfolio Selection Problems
- Robust asset allocation
- Safety First and the Holding of Assets
- Second-order cone programming
- Selecting portfolios with fixed costs and minimum transaction lots
Cited in
(17)- Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
- Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
- Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection
- Optimization ofN-risky asset portfolios with stochastic variance and transaction costs
- Stochastic mean absolute deviation model with random transaction costs: securities from the Johannesburg stock market
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
- Intertemporal portfolio optimization with small transaction costs and stochastic variance
- scientific article; zbMATH DE number 5056705 (Why is no real title available?)
- Tax-aware portfolio construction via convex optimization
- Game Theoretical Approach for Reliable Enhanced Indexation
- Regularized stochastic dual dynamic programming for convex nonlinear optimization problems
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- Portfolio optimization with linear and fixed transaction costs
- Characterization of efficient frontier for mean-variance model with a drawdown constraint
- Random credibilitic portfolio selection problem with different convex transaction costs
- Optimal Portfolios and Pricing of Financial Derivatives Under Proportional Transaction Costs
- A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint
This page was built for publication: Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q439922)
