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DC programming approach for portfolio optimization under step increasing transaction costs

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https://hal.univ-lorraine.fr/hal-01636747
Contributor : Hoai An Le Thi <>
Submitted on : Thursday, November 16, 2017 - 10:33:18 PM
Last modification on : Wednesday, May 26, 2021 - 7:42:03 PM

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Hoai An Le Thi, Mahdi Moeini, Tao Pham Dinh. DC programming approach for portfolio optimization under step increasing transaction costs. Optimization, Taylor & Francis, 2009, 58 (3), pp.267 - 289. ⟨10.1080/02331930902741721⟩. ⟨hal-01636747⟩

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