Matrix decomposition and Lagrangian dual method for discrete portfolio optimization under concave transaction costs (Q3572640)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Matrix decomposition and Lagrangian dual method for discrete portfolio optimization under concave transaction costs |
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Matrix decomposition and Lagrangian dual method for discrete portfolio optimization under concave transaction costs (English)
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8 July 2010
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Cholesky decomposition
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Lagrangian relaxation
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brand-and-bound
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