Large scale portfolio optimization with piecewise linear...

Optimization Methods and Software 2008 / 12 Vol. 23; Iss. 6

Large scale portfolio optimization with piecewise linear transaction costs

Potaptchik, Marina, Tunçel, Levent, Wolkowicz, Henry
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Volume:
23
Language:
english
Journal:
Optimization Methods and Software
DOI:
10.1080/00207160802263858
Date:
December, 2008
File:
PDF, 333 KB
english, 2008
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