Large scale portfolio optimization with piecewise linear transaction costs

Optimization Methods and Software

Volumn 23, Issue 6, 2008, Pages 929-952

  Potaptchik, Marina ^a   Tuncel, Levent ^a   Wolkowicz, Henry ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Piecewise differentiable functions; Portfolio optimization; Quadratic programming; Separable problems

Indexed keywords

ADMINISTRATIVE DATA PROCESSING; FINANCIAL DATA PROCESSING; NONLINEAR PROGRAMMING; OPTIMIZATION; PIECEWISE LINEAR TECHNIQUES; PROBABILITY DENSITY FUNCTION; QUADRATIC PROGRAMMING;

ACTIVE SET METHODS; COMPUTING; CROSS-OVER; FUNDAMENTAL PROBLEMS; HIGH ACCURACIES; LARGE-SCALE; MEAN-VARIANCE MODELS; NUMERICAL TESTS; OBJECTIVE FUNCTIONS; OPTIMAL PORTFOLIOS; PIECEWISE DIFFERENTIABLE FUNCTIONS; PIECEWISE LINEAR; POLYHEDRAL REPRESENTATIONS; PORTFOLIO OPTIMIZATION; PORTFOLIO OPTIMIZATIONS; PRIMAL-DUAL; SEPARABLE PROBLEMS; SPLINE APPROXIMATIONS; TRANSACTION COSTS;

PROBLEM SOLVING;

EID: 54249136298     PISSN: 10556788     EISSN: 10294937     Source Type: Journal    
DOI: 10.1080/00207160802263858     Document Type: Article

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