Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints.
Hiroshi KonnoAnnista WijayanayakePublished in: J. Glob. Optim. (2002)
Keyphrases
- portfolio optimization
- transaction costs
- portfolio management
- portfolio selection
- stock exchange
- stock market
- robust optimization
- factor analysis
- stock price
- problems involving
- bi objective
- risk management
- optimization methods
- data analysis
- keywords
- financial markets
- optimization method
- text mining
- objective function