An algorithm for portfolio optimization with variable transaction costs, part 1: Theory

Journal of Optimization Theory and Applications

Volumn 135, Issue 3, 2007, Pages 563-581

  Best, M J ^a   Hlouskova, J ^b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b INSTITUTE FOR ADVANCED STUDIES   (Austria)

Author keywords

Convex programming; Portfolio optimization; Variable transaction costs

Indexed keywords

COMPUTATION THEORY; COSTS; FINANCIAL DATA PROCESSING; PROBLEM SOLVING;

CONDITION; EXPECTED UTILITY; HIGH-DIMENSIONAL PROBLEMS; HIGHER-DIMENSIONAL PROBLEMS; OPTIMIZATION PROBLEMS; PORTFOLIO OPTIMIZATION; TIME-PERIODS; TRANSACTION COST; UTILITY FUNCTIONS; VARIABLE TRANSACTION COST;

CONVEX OPTIMIZATION;

EID: 36148952936     PISSN: 00223239     EISSN: 15732878     Source Type: Journal    
DOI: 10.1007/s10957-007-9252-7     Document Type: Article

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