Optimal portfolio selection for the small investor considering risk and transaction costs
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,Business, Management and Accounting (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s00291-008-0152-5.pdf
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3. Bienstock D (1996) Computational study of a family of mixed-integer quadratic programming problems. Math Program 74: 121–140
4. Blog B, van der Hoek G, Rinnooy Kan AHG, Timmer GT (1983) The optimal selection of small portfolios. Manage Sci 29: 792–798
5. Brennan MJ (1975) The optimal number of securities in a risky asset portfolio when there are fixed costs of transacting: theory and some empirical results. J Financ Quant Anal 10: 483–496
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