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

Mathematical Programming, Series B

Volumn 89, Issue 2, 2001, Pages 233-250

  Konno, Hiroshi ^a   Wijayanayake, Annista ^a  

^a TOKYO INSTITUTE OF TECHNOLOGY   (Japan)

Author keywords

Branch and bound algorithm; Concave transaction cost; Global optimization; Minimal transaction unit; Portfolio optimization; Rebalancing

Indexed keywords

EID: 0008397584     PISSN: 00255610     EISSN: None     Source Type: Journal    
DOI: 10.1007/PL00011397     Document Type: Article

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