Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs
Year of publication: |
2015
|
---|---|
Authors: | Takano, Yuichi ; Nanjo, Keisuke ; Sukegawa, Noriyoshi ; Mizuno, Shinji |
Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 12.2015, 2, p. 319-340
|
Subject: | Portfolio optimization | Conditional value-at-risk | Cutting plane algorithm | Transaction costs | Mixed integer linear programming | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Theorie | Theory | Transaktionskosten |
-
Fairness and efficiency in multiportfolio optimization
Iancu, Dan A., (2014)
-
An Omega portfolio model with dynamic return thresholds
Yu, Jing-Rung, (2023)
-
Optimal rebalancing frequencies for multidimensional portfolios
Ekren, Ibrahim, (2015)
- More ...
-
Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs
Takano, Yuichi, (2015)
-
Prescriptive price optimization using optimal regression trees
Ikeda, Shunnosuke, (2023)
-
A primal-simplex based Tardos' algorithm
Mizuno, Shinji, (2015)
- More ...