An Algorithm for Portfolio Optimization with Transaction Costs
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References listed on IDEAS
- De Panne, C & Whinston, Andrew, 1969. "The Symmetric Formulation of the Simplex Method for Quadratic Programming," Econometrica, Econometric Society, vol. 37(3), pages 507-527, July.
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- Cumming, Douglas & Helge Haß, Lars & Schweizer, Denis, 2013. "Private equity benchmarks and portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3515-3528.
- Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
- repec:spr:joptap:v:161:y:2014:i:1:d:10.1007_s10957-013-0348-y is not listed on IDEAS
- Tatyana Chernonog & Eugene Khmelnitsky, 2016. "An optimal time-management policy for labor supply and consumption decisions," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(3), pages 617-635, September.
- repec:spr:joptap:v:135:y:2007:i:3:d:10.1007_s10957-007-9252-7 is not listed on IDEAS
- Andrew Chen & Frank Fabozzi & Dashan Huang, 2012. "Portfolio revision under mean-variance and mean-CVaR with transaction costs," Review of Quantitative Finance and Accounting, Springer, vol. 39(4), pages 509-526, November.
- Michael Best & Robert Grauer & Jaroslava Hlouskova & Xili Zhang, 2014. "Loss-Aversion with Kinked Linear Utility Functions," Computational Economics, Springer;Society for Computational Economics, vol. 44(1), pages 45-65, June.
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Keywordsconvex programming; portfolio optimization; transaction costs;
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