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DC programming approaches for discrete portfolio optimization under concave transaction costs

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https://hal.univ-lorraine.fr/hal-01616984
Contributor : Hoai An Le Thi <>
Submitted on : Sunday, October 15, 2017 - 8:05:49 PM
Last modification on : Wednesday, May 26, 2021 - 7:42:03 PM

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Tao Pham Dinh, Hoai An Le Thi, Viet Nga Pham, Yi-Shuai Niu. DC programming approaches for discrete portfolio optimization under concave transaction costs. Optimization Letters, Springer Verlag, 2016, 10 (2), pp.261 - 282. ⟨10.1007/s11590-015-0931-2⟩. ⟨hal-01616984⟩

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