nonconvex transaction cost
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Optimization of a Long-Short Portfolio under Nonconvex Transaction Cost

Computational Optimization and Applications ◽

10.1007/s10589-005-2056-5 ◽

2005 ◽

Vol 32 (1-2) ◽

pp. 115-132 ◽

Cited By ~ 26

Author(s):

Hiroshi Konno ◽

Keisuke Akishino ◽

Rei Yamamoto

Keyword(s):

Transaction Cost ◽

Nonconvex Transaction Cost

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Optimal portfolio construction/rebalancing under nonconvex transaction cost

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520) ◽

10.1109/cifer.2000.844595 ◽

2002 ◽

Cited By ~ 1

Author(s):

H. Konno ◽

A. Wijayanayake

Keyword(s):

Transaction Cost ◽

Optimal Portfolio ◽

Portfolio Construction ◽

Nonconvex Transaction Cost

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