An algorithm for portfolio optimization with transaction costs

Management Science

Volumn 51, Issue 11, 2005, Pages 1676-1688

  Best, Michael J ^a   Hlouskova, Jaroslava ^b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b INSTITUTE FOR ADVANCED STUDIES   (Austria)

Author keywords

Convex programming; Portfolio optimization; Transaction costs

Indexed keywords

COSTS; LINEAR PROGRAMMING; NUMERICAL METHODS; OPTIMIZATION; PROBLEM SOLVING; THREE DIMENSIONAL;

CONVEX PROGRAMMING; PORTFOLIO OPTIMIZATION; TRANSACTION COSTS;

ALGORITHMS;

EID: 27744523602     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1050.0418     Document Type: Article

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