Mean-variance portfolio optimal problem under concave transaction cost.

Honggang Xue Chengxian Xu Zong-Xian Feng

Published in: Appl. Math. Comput. (2006)

Keyphrases

transaction costs
portfolio selection
portfolio management
optimal portfolio
stock exchange
portfolio optimization
dynamic programming
piecewise linear
investment strategies
search costs
objective function
optimal solution
transaction cost economics
genetic algorithm
stock market