Stochastic portfolio optimization with proportional transaction costs: Convex reformulations and computational experiments.
Tiago Pascoal FilomenaMiguel A. LejeunePublished in: Oper. Res. Lett. (2012)
Keyphrases
- transaction costs
- portfolio optimization
- portfolio management
- portfolio selection
- stock exchange
- stock market
- robust optimization
- problems involving
- stock price
- mathematical programming
- financial data
- convex optimization
- factor analysis
- decision making
- financial markets
- risk management
- optimization methods
- financial time series
- decision support system
- objective function