Dealing with transaction costs in portfolio optimization: online gradient descent with momentum.
Edoardo VittoriMartino Bernasconi de LucaFrancesco TrovòMarcello RestelliPublished in: ICAIF (2020)
Keyphrases
- transaction costs
- portfolio optimization
- portfolio management
- portfolio selection
- stock exchange
- search costs
- stock market
- stock price
- cost function
- robust optimization
- financial data
- risk management
- factor analysis
- problems involving
- financial time series
- bi objective
- evolutionary algorithm
- optimization methods
- np hard
- long term