Dealing with complex transaction costs in portfolio management

This paper deals with the problem of modelling complex transaction cost structures within portfolio management models in an efficient and effective way. We consider a general structure of transaction costs, where the applied commissions depend on the range of traded monetary amount and we use this g...

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Vydané v:	Annals of operations research Ročník 299; číslo 1-2; s. 7 - 22
Hlavní autori:	Beraldi, Patrizia, Violi, Antonio, Ferrara, Massimiliano, Ciancio, Claudio, Pansera, Bruno Antonio
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	New York Springer US 01.04.2021 Springer Springer Nature B.V
Predmet:	Branch and bound methods Business and Management Combinatorial optimization Combinatorics Computing time Costs Economic conditions Institutional investments Management Methods Mixed integer Operations research Operations Research/Decision Theory Optimization Portfolio management Portfolio performance S.I.: Recent Developments in Financial Modeling and Risk Management Technology application Theory of Computation Transaction costs Italy Complex transaction costs Branch and bound method Portfolio management
ISSN:	0254-5330, 1572-9338
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