Portfolio Investment with the Exact Tax Basis via Nonlinear Programming.
Victor DeMiguelRaman UppalPublished in: Manag. Sci. (2005)
Keyphrases
- nonlinear programming
- linear programming
- linear constraints
- optimization problems
- variational inequalities
- portfolio management
- equality and inequality constraints
- semidefinite programming
- equality constraints
- investment decisions
- mixed integer nonlinear programming
- sensitivity analysis
- column generation
- exact solution
- training samples
- exact algorithms
- special case
- cooperative
- genetic algorithm