In this study, we use zero-one variables to control fixed transaction costs independent of trade size in the portfolio selection problem. The optimal solution to the maximum flow, risk constrained stochastic portfolio network is found using Digital Portfolio Theory (DPT). Digital signals...

In the last few years, multivariate quality control has been thoroughly studied. The control of the population means vector is usually obtained by using multivariate control charts developed for this purpose. Nevertheless, when the goal is the efficient control of the covariance matrix, few...

In this study, we use zero-one variables to control fixed transaction costs independent of trade size in the portfolio selection problem. The optimal solution to the maximum flow, risk constrained stochastic portfolio network is found using Digital Portfolio Theory (DPT). Digital signals...

In the last few years, multivariate quality control has been thoroughly studied. The control of the population means vector is usually obtained by using multivariate control charts developed for this purpose. Nevertheless, when the goal is the efficient control of the covariance matrix, few...