Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs.
Tiago Pascoal FilomenaMiguel A. LejeunePublished in: J. Optim. Theory Appl. (2014)
Keyphrases
- transaction costs
- portfolio optimization
- portfolio management
- portfolio selection
- stock exchange
- stock market
- stock price
- optimal solution
- factor analysis
- problems involving
- robust optimization
- financial data
- optimization methods
- financial time series
- short term
- simulated annealing
- risk management
- multiple objectives
- knowledge discovery
- decision making