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

This paper addresses itself to a portfolio optimization problem under nonconvex transaction costs and minimal transaction unit constraints. Associated with portfolio construction is a fee for purchasing assets. Unit transaction fee is larger when the amount of transaction is smaller. Hence the trans...

Full description

Bibliographic Details

Published in:	Journal of global optimization Vol. 22; no. 1-4; pp. 137 - 154
Main Authors:	Konno, Hiroshi, Wijayanayake, Annista
Format:	Journal Article
Language:	English
Published:	Dordrecht Springer Nature B.V 01.01.2002
Subjects:	Algorithms Asset acquisitions Costs Expected utility Industrial engineering Integer programming Linear programming Optimization Purchasing Stock exchanges
ISSN:	0925-5001, 1573-2916
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!