Mean-variance portfolio optimal problem under concave transaction cost

DOI10.1016/j.amc.2005.05.005zbMath1168.91406OpenAlexW2020793617MaRDI QIDQ2490186

Zongxian Feng, Honggang Xue, Cheng-Xian Xu

Publication date: 28 April 2006

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2005.05.005

zbMATH Keywords

Efficient frontierBranch and bound algorithmConcave transaction costGlobally optimal portfolioMean-variance

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Quadratic programming (90C20)

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Cites Work

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• Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
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