Portfolio Optimization Under Fixed Transaction Costs
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چکیده
منابع مشابه
VaR optimal portfolio with transaction costs
We consider the problem of portfolio optimization under VaR risk measure taking into account transaction costs. Fixed costs as well as impact costs as a nonlinear function of trading activity are incorporated in the optimal portfolio model. Thus the obtained model is a nonlinear optimization problem with nonsmooth objective function. The model is solved by an iterative method based on a smoothi...
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