Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints

Journal of Global Optimization

Volumn 22, Issue 1-4, 2002, Pages 137-154

  Konno, Hiroshi ^a   Wijayanayake, Annista ^a  

^a TOKYO INSTITUTE OF TECHNOLOGY   (Japan)

Author keywords

D.c. programming; Mean absolute deviation model; Minimal transaction unit constraint; Nonconvex transaction cost; Portfolio optimization

Indexed keywords

COSTS; EARNINGS; FUNCTIONS; RISK ASSESSMENT;

D.C. PROGRAMMING; MEAN ABSOLUTE DEVIATION MODELS; MINIMAL TRANSACTION UNIT CONSTRAINT; NONCONVEX TRANSACTION COSTS; PORTFOLIO OPTIMIZATION;

ELECTRONIC TRADING;

EID: 31244431556     PISSN: 09255001     EISSN: 15732916     Source Type: Journal    
DOI: 10.1023/a:1013850928936     Document Type: Article

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