An Algorithm for Portfolio Optimization with Variable Transaction Costs, Part 1: Theory

Author:

Best M. J.,Hlouskova J.

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Reference14 articles.

1. Markowitz, H.M.: Portfolio Selection: Efficient Diversification of Investment. Wiley/Yale University Press, New Haven (1959)

2. Grauer, R.R., Hakansson, N.H.: On the use of mean-variance and quadratic approximations in implementing dynamic investment strategies: A comparison of returns and investment policies. Manag. Sci. 38, 856–870 (1992)

3. Best, M.J., Hlouskova, J.: Portfolio selection and transaction costs. Comput. Optim. Appl. 24, 95–116 (2003)

4. Best, M.J., Hlouskova, J.: Quadratic programming with transaction costs. Comput. Oper. Res. 35, 18–33 (2008)

5. Best, M.J., Hlouskova, J.: An algorithm for portfolio optimization with transaction costs. Manag. Sci. 51, 1676–1688 (2005)

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