Portfolio Optimization with Concave Transaction Costs

2003 ◽  
Author(s):  
Andriy Demchuk
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Concave Transaction Costs

DC programming approaches for discrete portfolio optimization under concave transaction costs

2015 ◽  
Vol 10 (2) ◽  
pp. 261-282 ◽  
Author(s):  
Tao Pham Dinh ◽  
Hoai An Le Thi ◽  
Viet Nga Pham ◽  
Yi-Shuai Niu
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Dc Programming ◽  
Concave Transaction Costs

Portfolio optimization with transaction costs: a two-period mean-variance model

2014 ◽  
Vol 233 (1) ◽  
pp. 135-156 ◽  
Author(s):  
Ying Hui Fu ◽  
Kien Ming Ng ◽  
Boray Huang ◽  
Huei Chuen Huang
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Variance Model ◽  
Mean Variance

scholarly journals Dynamic portfolio optimization with transaction costs and state-dependent drift

2015 ◽  
Vol 243 (3) ◽  
pp. 921-931 ◽  
Author(s):  
Jan Palczewski ◽  
Rolf Poulsen ◽  
Klaus Reiner Schenk-Hoppé ◽  
Huamao Wang
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
State Dependent ◽  
Dynamic Portfolio ◽  
Dynamic Portfolio Optimization
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