An algorithm for portfolio selection in a frictional market

DOI10.1016/J.AMC.2006.05.048MaRDI QIDQ858833zbMATH OpenOpenAlexFDO

Authors Mingming Liu, Yan Gao

Publication date 11 January 2007

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2006.05.048

zbMATH Keywords

optimizationportfolio selectionMAD model

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• Duality for portfolio optimization with short sales
• Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
• Portfolio optimization under a minimax rule
• Portfolio selection problem with minimax type risk function

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• An integrated multi-objective framework for solving multi-period project selection problems
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