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Portfolio Selection under Piecewise Affine Transaction Costs: An Integer Quadratic Formulation.
Mohamed Lemrabott
Serigne Gueye
Adnan Yassine
Yves Rakotondratsimba
Published in:
MCO (2008)
Keyphrases
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transaction costs
portfolio selection
piecewise affine
robust optimization
portfolio management
portfolio optimization
mathematical programming
financial markets
objective function
multiple objectives
data mining
decision making
decision theory