Quadratic programming with transaction costs

Computers and Operations Research

Volumn 35, Issue 1, 2008, Pages 18-33

  Best, Michael J ^a   Hlouskova, Jaroslava ^b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b INSTITUTE FOR ADVANCED STUDIES   (Austria)

Author keywords

Active set algorithm; Portfolio optimization; Quadratic programming; Transaction costs

Indexed keywords

ALGORITHMS; ASSET MANAGEMENT; CONSTRAINED OPTIMIZATION; INFORMATION MANAGEMENT; PROBLEM SOLVING; QUADRATIC PROGRAMMING;

ACTIVE SET ALGORITHMS; PORTFOLIO OPTIMIZATION; TRANSACTION COSTS;

FINANCIAL DATA PROCESSING;

EID: 34250165749     PISSN: 03050548     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cor.2006.02.013     Document Type: Article

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