concave transaction costs Latest Research Papers

The Optimization of the Mean-Variance Portfolio Selection with Nonsmooth Concave Transaction Costs

DEStech Transactions on Computer Science and Engineering ◽

10.12783/dtcse/ameit2017/12269 ◽

2017 ◽

Author(s):

Fan YANG ◽

Peng ZHANG

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

The Mean ◽

Mean Variance Portfolio ◽

Concave Transaction Costs ◽

Mean Variance

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DC programming approaches for discrete portfolio optimization under concave transaction costs

Optimization Letters ◽

10.1007/s11590-015-0931-2 ◽

2015 ◽

Vol 10 (2) ◽

pp. 261-282 ◽

Cited By ~ 6

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

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An artificial bee colony algorithm for fuzzy portfolio model with concave transaction costs

2013 International Conference on Management Science and Engineering 20th Annual Conference Proceedings ◽

10.1109/icmse.2013.6586312 ◽

2013 ◽

Author(s):

Sun Meng-rong ◽

Chen Wei

Keyword(s):

Transaction Costs ◽

Artificial Bee Colony Algorithm ◽

Artificial Bee Colony ◽

Bee Colony ◽

Concave Transaction Costs ◽

Fuzzy Portfolio Model

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A reconstructive genetic algorithm in portfolio selection under concave transaction costs

The 2nd International Conference on Information Science and Engineering ◽

10.1109/icise.2010.5690954 ◽

2010 ◽

Author(s):

Xinli Zhang ◽

Wenyu Sun

Keyword(s):

Genetic Algorithm ◽

Transaction Costs ◽

Portfolio Selection ◽

Concave Transaction Costs

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A portfolio model with quadratic subsection concave transaction costs based on PSO

2009 Chinese Control and Decision Conference ◽

10.1109/ccdc.2009.5192849 ◽

2009 ◽

Cited By ~ 1

Author(s):

Fasheng Xu ◽

Wei Chen

Keyword(s):

Transaction Costs ◽

Concave Transaction Costs

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Matrix decomposition and Lagrangian dual method for discrete portfolio optimization under concave transaction costs

Journal of Shanghai University (English Edition) ◽

10.1007/s11741-009-0206-3 ◽

2009 ◽

Vol 13 (2) ◽

pp. 119-122 ◽

Cited By ~ 1

Author(s):

Zhen-xing Gao ◽

Shi-tao Zhang ◽

Xiao-ling Sun

Keyword(s):

Transaction Costs ◽

Portfolio Optimization ◽

Matrix Decomposition ◽

Dual Method ◽

Lagrangian Dual ◽

Concave Transaction Costs

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Mean-CVaR Portfolio Optimization Problem under Concave Transaction Costs and Minimal Transaction Unit Constraints

2009 Second International Conference on Information and Computing Science ◽

10.1109/icic.2009.27 ◽

2009 ◽

Author(s):

Yuelin Gao ◽

Ying Sun ◽

Yuhong Li

Keyword(s):

Transaction Costs ◽

Portfolio Optimization ◽

Optimization Problem ◽

Portfolio Optimization Problem ◽

Concave Transaction Costs

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PRICING OF EUROPEAN AND AMERICAN CLAIMS IN THE CRR MODEL WITH FIXED PLUS - CONCAVE TRANSACTION COSTS

Demonstratio Mathematica ◽

10.1515/dema-2004-0323 ◽

2004 ◽

Vol 37 (3) ◽

Author(s):

Joanna Piasecka

Keyword(s):

Transaction Costs ◽

Concave Transaction Costs

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Portfolio Optimization with Concave Transaction Costs

SSRN Electronic Journal ◽

10.2139/ssrn.481102 ◽

2003 ◽

Cited By ~ 2

Author(s):

Andriy Demchuk

Keyword(s):

Transaction Costs ◽

Portfolio Optimization ◽

Concave Transaction Costs

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HEDGING IN THE CRR MODEL UNDER CONCAVE TRANSACTION COSTS

Demonstratio Mathematica ◽

10.1515/dema-2001-0226 ◽

2001 ◽

Vol 34 (2) ◽

Author(s):

Marek Kociński

Keyword(s):

Transaction Costs ◽

Concave Transaction Costs

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concave transaction costs
Recently Published Documents

TOTAL DOCUMENTS

H-INDEX

The Optimization of the Mean-Variance Portfolio Selection with Nonsmooth Concave Transaction Costs

DC programming approaches for discrete portfolio optimization under concave transaction costs

An artificial bee colony algorithm for fuzzy portfolio model with concave transaction costs

A reconstructive genetic algorithm in portfolio selection under concave transaction costs

A portfolio model with quadratic subsection concave transaction costs based on PSO

Matrix decomposition and Lagrangian dual method for discrete portfolio optimization under concave transaction costs

Mean-CVaR Portfolio Optimization Problem under Concave Transaction Costs and Minimal Transaction Unit Constraints

PRICING OF EUROPEAN AND AMERICAN CLAIMS IN THE CRR MODEL WITH FIXED PLUS - CONCAVE TRANSACTION COSTS

Portfolio Optimization with Concave Transaction Costs

HEDGING IN THE CRR MODEL UNDER CONCAVE TRANSACTION COSTS

Export Citation Format

concave transaction costsRecently Published Documents

TOTAL DOCUMENTS

H-INDEX

The Optimization of the Mean-Variance Portfolio Selection with Nonsmooth Concave Transaction Costs

DC programming approaches for discrete portfolio optimization under concave transaction costs

An artificial bee colony algorithm for fuzzy portfolio model with concave transaction costs

A reconstructive genetic algorithm in portfolio selection under concave transaction costs

A portfolio model with quadratic subsection concave transaction costs based on PSO

Matrix decomposition and Lagrangian dual method for discrete portfolio optimization under concave transaction costs

Mean-CVaR Portfolio Optimization Problem under Concave Transaction Costs and Minimal Transaction Unit Constraints

PRICING OF EUROPEAN AND AMERICAN CLAIMS IN THE CRR MODEL WITH FIXED PLUS - CONCAVE TRANSACTION COSTS

Portfolio Optimization with Concave Transaction Costs

HEDGING IN THE CRR MODEL UNDER CONCAVE TRANSACTION COSTS

concave transaction costs
Recently Published Documents