A portfolio optimization model with nonconvex costs

zbMATH Open1150.90447MaRDI QIDQ5458719FDOQ5458719

Authors: Ilie Marinescu 

Publication date: 23 April 2008

Recommendations

• Mean-absolute deviation portfolio optimization model under transaction costs
• Portfolio optimization model with transaction costs.
• scientific article; zbMATH DE number 5056705
• Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
• Mean-variance portfolio optimal problem under concave transaction cost

zbMATH Keywords

feasible direction algorithmmean-absolute deviationnonconvex transaction coststhe regularization function

Mathematics Subject Classification ID

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

Cited In (4)

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

This page was built for publication: A portfolio optimization model with nonconvex costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5458719)