Large scale portfolio optimization with piecewise linear transaction costs.
Marina PotaptchikLevent TunçelHenry WolkowiczPublished in: Optim. Methods Softw. (2008)
Keyphrases
- piecewise linear
- transaction costs
- portfolio optimization
- portfolio management
- portfolio selection
- stock exchange
- stock market
- dynamic programming
- stock price
- robust optimization
- bi objective
- problems involving
- optimization methods
- risk management
- financial data
- financial time series
- hyperplane
- factor analysis
- text documents
- feature selection
- learning algorithm