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DC programming approaches for discrete portfolio optimization under concave transaction costs.

Tao Pham DinhHoai An Le ThiViet Nga PhamYi-Shuai Niu
Published in: Optim. Lett. (2016)
Keyphrases
  • portfolio optimization
  • transaction costs
  • portfolio management
  • portfolio selection
  • stock exchange
  • genetic programming
  • problems involving
  • evolutionary algorithm
  • linear programming
  • dc programming