Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
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Publication:5944952
DOI10.1007/s101070000205zbMath1014.91053MaRDI QIDQ5944952
Annista Wijayanayake, Hiroshi Konno
Publication date: 10 October 2001
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
branch and bound algorithmconcave transaction costsglobally optimal solutionminimal transaction unit constraintsportfolio construction/rebalancing
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