Primal-dual methods for the computation of trading regions under proportional transaction costs
type: Item
instance of: scholarly article
title: Primal-dual methods for the computation of trading regions under proportional transaction costs
zbMATH Open document ID: 1258.49042
author: Jörn Sass
author: Roland Herzog
author: Karl Kunisch
published in: Mathematical Methods of Operations Research
publication date: 2013-03-04T00:00:00Z
full work available at URL: s00186-012-0416-3
Mathematics Subject Classification ID: 49M15
Mathematics Subject Classification ID: 49M25
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6141013
zbMATH Keywords: portfolio optimization
zbMATH Keywords: transaction costs
zbMATH Keywords: complementarity problem
zbMATH Keywords: semi-smooth Newton method
zbMATH Keywords: augmented Lagrangian method
MaRDI profile type: Publication
OpenAlex ID: W1992789611
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DOI: 10.1007/S00186-012-0416-3
description: scientific article; zbMATH DE number 6141013