Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints (Q598593)
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scientific article; zbMATH DE number 2088639
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints |
scientific article; zbMATH DE number 2088639 |
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Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints (English)
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12 August 2004
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Portfolio optimization
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D.c. programming
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Nonconvex transaction cost
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Minimal transaction unit constraint
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Mean-absolute deviation model
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