DC Programming and DCA for Portfolio Optimization with Linear and Fixed Transaction Costs.

Tao Pham Dinh Viet Nga Pham Hoai An Le Thi

Published in: ACIIDS (2) (2014)

Keyphrases

transaction costs
portfolio optimization
portfolio management
portfolio selection
stock exchange
stock market
dc programming
stock price
financial data
problems involving
risk management
robust optimization
factor analysis
financial time series
bi objective
multiple objectives
objective function