Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs.
John E. MitchellStephen BraunPublished in: Optim. Methods Softw. (2013)
Keyphrases
- transaction costs
- portfolio management
- search costs
- asset allocation
- stock exchange
- cost benefit
- portfolio selection
- investment strategies
- optimal portfolio
- convex optimization
- stock market
- decision making
- financial data
- stock price
- genetic algorithm
- risk aversion
- knowledge discovery
- long run
- decision theoretic
- mathematical programming
- risk management
- multistage
- market data
- linear programming
- digital economy
- multi objective
- data mining
- sharpe ratio