An exact approach for portfolio selection with transaction costs and rounds
Author:
Publisher
Informa UK Limited
Subject
Industrial and Manufacturing Engineering
Link
http://www.tandfonline.com/doi/pdf/10.1080/07408170591007821
Reference33 articles.
1. Adcock, C. and Meade, N. (1994) A simple algorithm to incorporate transaction costs in quadratic optimisation European Journal of Operational Research, 79, pp. 85 - 94.
2. Arnott, R. and Wagner, W. (1990) The measurement and control of trading costs Financial Analysts Journal, 46, pp. 73 - 80.
3. Beasley, J. and Chang, T. and Meade, N. and Sharaia, Y. (2000) Heuristics for cardinality constraint portfolio optimisation Computers & Operations Research, 27, pp. 1271 - 1302. [CROSSREF]
4. Brennan, M. (1975) The optimal number of securities in a risky asset portfolio when there are fixed costs of transaction: Theory and some empirical results Journal of Financial Quantitative Analysis, 10, pp. 483 - 496.
5. Chiodi, L. and Mansini, R. and Speranza, M. (2003) Semi-absolute deviation rule for mutual funds portfolio selection Annals of Operations Research, 124, pp. 245 - 265. [CROSSREF]
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