DC programming approach for portfolio optimization under step increasing transaction costs

DOI10.1080/02331930902741721zbMath1160.91015OpenAlexW2159455799MaRDI QIDQ3625227

Tao Pham Dinh, Mahdi Moeini, Hoai An Le Thi

Publication date: 12 May 2009

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930902741721

zbMATH Keywords

DCAbranch and boundportfolio selectionDC programmingstep increasing transaction cost function

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Nonconvex programming, global optimization (90C26) Portfolio theory (91G10)

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Uses Software

• CPLEX

Cites Work

• Unnamed Item
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• Portfolio optimization with linear and fixed transaction costs
• Mean-variance portfolio optimal problem under concave transaction cost
• Integer programming approaches in mean-risk models
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• Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs
• Collusive game solutions via optimization
• A D.C. Optimization Algorithm for Solving the Trust-Region Subproblem
• Applications of Global Optimization to Portfolio Analysis
• Portfolio Selection with Transaction Costs

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