An Approach for a Multi-Period Portfolio Selection Problem by considering Transaction Costs and Prediction on the Stock Market.
Luis AburtoRodrigo Romero-RomeroRodrigo LinfatiJohn Willmer EscobarPublished in: Complex. (2023)
Keyphrases
- transaction costs
- stock exchange
- stock market
- multi period
- financial time series
- stock price
- production planning
- short term
- planning horizon
- financial data
- facility location problem
- portfolio optimization
- data envelopment analysis
- lot sizing
- portfolio management
- multi item
- total cost
- long term
- financial markets
- facility location
- routing problem
- prediction model
- data streams
- exchange rate
- combinatorial optimization
- production system
- stock index futures