Optimization of a Long-Short Portfolio under Nonconvex Transaction Cost.

Hiroshi Konno Keisuke Akishino Rei Yamamoto

Published in: Comput. Optim. Appl. (2005)

Keyphrases

transaction costs
optimization problems
portfolio management
global optimization
nonlinear programming
search costs
stock exchange
portfolio selection
objective function
constrained optimization
evolutionary algorithm
linear programming
text categorization
electronic commerce
lot sizing
transaction cost economics