Portfolio Selection under Piecewise Affine Transaction Costs: An Integer Quadratic Formulation

DOI10.1007/978-3-540-87477-5_21zbMath1160.90593OpenAlexW1593419487MaRDI QIDQ3627693

Adnan Yassine, Mohamed Lemrabott, Yves Rakotondratsimba, Serigne Gueye

Publication date: 13 May 2009

Published in: Communications in Computer and Information Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-87477-5_21

zbMATH Keywords

linearizationportfolio selectioninteger quadratic programmingpiecewise transaction costs

Mathematics Subject Classification ID

Integer programming (90C10) Quadratic programming (90C20)

Uses Software

• CPLEX

Cites Work

• Heuristic algorithms for the portfolio selection problem with minimum transaction lots
• Exact solution of multicommodity network optimization problems with general step cost functions
• Optimal investment and consumption with transaction costs
• Models for representing piecewise linear cost functions
• Optimal Impulse Control of Portfolios
• On an Investment-Consumption Model with Transaction Costs
• Portfolio Selection with Transaction Costs

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