Portfolio optimization model with transaction costs.

DOI10.1007/s102550200022zbMath1042.91037OpenAlexW2057969295MaRDI QIDQ1862932

Shu-ping Chen, Chong Li, Xiong-wei Wu, Sheng-Hong Li

Publication date: 2002

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s102550200022

zbMATH Keywords

portfolio selectionefficient frontierrisk averse measuresKuhn-Tucker conditionsbicriteria piecewise linear program

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Portfolio theory (91G10)

Cites Work

• Analytic efficient solution set for multi-criteria quadratic programs
• A mean-absolute deviation-skewness portfolio optimization model
• Portfolio Optimization Under a Minimax Rule
• Large-Scale Portfolio Optimization
• PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
• Optimization and nonsmooth analysis
• Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
• State Constraints in Convex Control Problems of Bolza

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