Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
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Publication:5299910
DOI10.1080/10556788.2012.717940zbMath1266.91121OpenAlexW2114279714MaRDI QIDQ5299910
Stephen Braun, John E. Mitchell
Publication date: 24 June 2013
Published in: Optimization Methods and Software (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10556788.2012.717940
convex optimizationportfolio optimizationtransaction costsconic optimizationrebalancingmarket impact costs
Convex programming (90C25) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (6)
A global optimization problem in portfolio selection ⋮ Complex portfolio selection via convex mixed‐integer quadratic programming: a survey ⋮ Regularized stochastic dual dynamic programming for convex nonlinear optimization problems ⋮ A semidefinite programming heuristic for quadratic programming problems with complementarity constraints ⋮ A macroscopic portfolio model: from rational agents to bounded rationality ⋮ A new portfolio rebalancing model with transaction costs
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