REBALANCE SCHEDULE OPTIMIZATION OF A LARGE SCALE PORTFOLIO UNDER TRANSACTION COST

DOI10.15807/jorsj.56.26zbMath1288.91180OpenAlexW2125215664MaRDI QIDQ5403865

Hiroshi Konno, Rei Yamamoto

Publication date: 19 March 2014

Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15807/jorsj.56.26

zbMATH Keywords

financeabsolute deviationmarket impact cost\(0\)-\(1\) integer programminggradual rebalancerebalance schedule

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Integer programming (90C10) Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (1)

Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs

This page was built for publication: REBALANCE SCHEDULE OPTIMIZATION OF A LARGE SCALE PORTFOLIO UNDER TRANSACTION COST