A simple algorithm to incorporate transactions costs in quadratic optimization

DOI10.1016/0377-2217(94)90397-2zbMath0837.90010OpenAlexW2086705997MaRDI QIDQ1342041

C. J. Adcock, Nigel Meade

Publication date: 12 May 1996

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-2217(94)90397-2

zbMATH Keywords

financetransaction costportfolio selectionminimum absolute deviationsequity index tracking fundportfolio performancetactical asset allocation

Mathematics Subject Classification ID

Related Items (8)

Enhanced index tracking with CVaR-based ratio measures ⋮ Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs ⋮ MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS ⋮ On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH ⋮ Dynamic portfolio management under competing representations ⋮ An evolutionary heuristic for the index tracking problem. ⋮ Wavelet evolutionary network for complex-constrained portfolio rebalancing ⋮ Heuristics for cardinality constrained portfolio optimization

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