Global Optimization Versus Integer Programming in Portfolio Optimization under Nonconvex Transaction Costs.
Hiroshi KonnoRei YamamotoPublished in: J. Glob. Optim. (2005)
Keyphrases
- global optimization
- integer programming
- transaction costs
- portfolio optimization
- portfolio selection
- stock exchange
- portfolio management
- stock market
- stock price
- np hard
- particle swarm optimization
- linear programming
- financial data
- network flow
- financial time series
- bi objective
- constraint programming
- risk management
- problems involving
- robust optimization
- data mining
- factor analysis
- neural network
- combinatorial optimization