A portfolio optimization model with nonconvex costs

MaRDI QIDQ5458719zbMATHFDO

Authors Ilie Marinescu

Publication date 23 April 2008

zbMATH Keywords

feasible direction algorithmmean-absolute deviationnonconvex transaction coststhe regularization function

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Nonlinear programming (90C30)

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(4)

• Mean-absolute deviation portfolio optimization model under transaction costs
• Nonlinear optimization problem of interdependent investment projects portfolio
• Risk-sensitive portfolio optimization problems with general nonnegative factor models
• Portfolio optimization model with and without options under additional constraints

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