PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
نویسندگان
چکیده
منابع مشابه
Large scale portfolio optimization with piecewise linear transaction costs
We consider the fundamental problem of computing an optimal portfolio based on a quadratic mean-variance model of the objective function and a given polyhedral representation of the constraints. The main departure from the classical quadratic programming formulation is the inclusion in the objective function of piecewise linear, separable functions representing the transaction costs. We handle ...
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ژورنال
عنوان ژورنال: Journal of the Operations Research Society of Japan
سال: 1990
ISSN: 0453-4514,2188-8299
DOI: 10.15807/jorsj.33.139