Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
From MaRDI portal
Publication:5299910
DOI10.1080/10556788.2012.717940zbMath1266.91121MaRDI 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 optimization; portfolio optimization; transaction costs; conic optimization; rebalancing; market impact costs
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