Minimal concave cost rebalance of a portfolio to the efficient frontier

DOI10.1007/S10107-003-0428-0zbMath1043.91029OpenAlexW1984856014MaRDI QIDQ1403305

Rei Yamamoto, Hiroshi Konno

Publication date: 1 September 2003

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-003-0428-0

zbMATH Keywords

global optimizationoptimization over the efficient setmean-absolute deviation modelconcave cost minimization

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Multi-objective and goal programming (90C29)

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