Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs

Journal of Global Optimization

Volumn 32, Issue 2, 2005, Pages 207-219

  Konno, Hiroshi ^a   Yamamoto, Rei ^a  

^a CHUO UNIVERSITY   (Japan)

Author keywords

0 1 integer programming; Branch and bound algorithm; Global optimization; Nonconvex transaction cost; Portfolio optimization

Indexed keywords

ALGORITHMS; CODES (SYMBOLS); CONSTRAINT THEORY; COSTS; INTEGER PROGRAMMING; PROBLEM SOLVING;

0-1 INTEGER PROGRAMMING; BRANCH AND BOUND ALGORITHMS; NONCONVEX TRANSACTION COSTS; PORTFOLIO OPTIMIZATION;

GLOBAL OPTIMIZATION;

EID: 25444530948     PISSN: 09255001     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10898-004-2703-x     Document Type: Article

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