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Optimization of a Long-Short Portfolio under Nonconvex Transaction Cost

Optimization of a Long-Short Portfolio under Nonconvex Transaction Cost The purpose of this paper is to propose a practical branch and bound algorithm for solving a class of long-short portfolio optimization problem with concave and d.c. transaction cost and complementarity conditions on the variables. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Computational Optimization and Applications Springer Journals

Optimization of a Long-Short Portfolio under Nonconvex Transaction Cost

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References (23)

Publisher
Springer Journals
Copyright
Copyright © 2005 by Springer Science + Business Media, Inc.
Subject
Mathematics; Optimization; Operations Research, Management Science; Operation Research/Decision Theory; Statistics, general; Convex and Discrete Geometry
ISSN
0926-6003
eISSN
1573-2894
DOI
10.1007/s10589-005-2056-5
Publisher site
See Article on Publisher Site

Abstract

The purpose of this paper is to propose a practical branch and bound algorithm for solving a class of long-short portfolio optimization problem with concave and d.c. transaction cost and complementarity conditions on the variables.

Journal

Computational Optimization and ApplicationsSpringer Journals

Published: Jan 1, 2005

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