Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints
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Publication:598593
DOI10.1023/A:1013850928936zbMath1045.91022OpenAlexW1810055MaRDI QIDQ598593
Annista Wijayanayake, Hiroshi Konno
Publication date: 12 August 2004
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1013850928936
D.c. programmingMean-absolute deviation modelMinimal transaction unit constraintNonconvex transaction costPortfolio optimization
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