Portfolio selection and transactions costs

Computational Optimization and Applications

Volumn 24, Issue 1, 2003, Pages 95-116

  Best, Michael J ^a   Hlouskova, Jaroslava ^b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b INSTITUTE FOR ADVANCED STUDIES   (Austria)

Author keywords

Parametric quadratic programming; Portfolio optimization; Transactions costs

Indexed keywords

ALGORITHMS; MATRIX ALGEBRA; QUADRATIC PROGRAMMING;

TRANSACTIONS COSTS;

COMPUTATIONAL METHODS;

EID: 0037265123     PISSN: 09266003     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1021806200854     Document Type: Article

References (12)

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