Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs

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pp. 319-340 ◽  
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Yuichi Takano ◽  
Keisuke Nanjo ◽  
Noriyoshi Sukegawa ◽  
Shinji Mizuno
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Cutting Plane ◽  
Cutting Plane Algorithms

Portfolio optimization with transaction costs: a two-period mean-variance model

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Vol 233 (1) ◽  
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Kien Ming Ng ◽  
Boray Huang ◽  
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Transaction Costs ◽  
Portfolio Optimization ◽  
Variance Model ◽  
Mean Variance

scholarly journals Dynamic portfolio optimization with transaction costs and state-dependent drift

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Vol 243 (3) ◽  
pp. 921-931 ◽  
Author(s):  
Jan Palczewski ◽  
Rolf Poulsen ◽  
Klaus Reiner Schenk-Hoppé ◽  
Huamao Wang
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
State Dependent ◽  
Dynamic Portfolio ◽  
Dynamic Portfolio Optimization

scholarly journals A Note on Portfolio Optimization with Quadratic Transaction Costs

2019 ◽  
Author(s):  
Pierre Chen ◽  
Edmond Lezmi ◽  
Thierry Roncalli ◽  
Jiali Xu
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization
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