Primal-dual methods for the computation of trading regions under proportional transaction costs (Q1939506)
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scientific article; zbMATH DE number 6141013
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Primal-dual methods for the computation of trading regions under proportional transaction costs |
scientific article; zbMATH DE number 6141013 |
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Primal-dual methods for the computation of trading regions under proportional transaction costs (English)
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4 March 2013
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portfolio optimization
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transaction costs
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complementarity problem
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semi-smooth Newton method
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augmented Lagrangian method
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