Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints
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Publication:598593
DOI10.1023/A:1013850928936zbMath1045.91022MaRDI QIDQ598593
Hiroshi Konno, Annista Wijayanayake
Publication date: 12 August 2004
Published in: Journal of Global Optimization (Search for Journal in Brave)
D.c. programming; Mean-absolute deviation model; Minimal transaction unit constraint; Nonconvex transaction cost; Portfolio optimization
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