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~person:"Blake, David"
~person:"Huang, Boray"
~person:"Li, Duan"
~person:"Maurer, Raimond"
~person:"Zhou, Guofu"
~subject:"Mathematical programming"
~type_genre:"Conference paper"
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Mathematical programming
Mathematische Optimierung
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Portfolio selection
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Transaction costs
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branch-and-bound
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convex relaxation
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Blake, David
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Delgado-Gómez, David
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Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Mathematics in business management : [International Conference on Mathematics in Engineering and Business Management during 9 - 10 March 2012, Chennai, India]
1
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ECONIS (ZBW)
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Portfolio optimization with transaction costs: a two-period mean-variance model
Fu, Ying Hui
;
Ng, Kien Ming
;
Huang, Boray
;
Huang, Huei Chuen
- In:
Mathematics in business management : [International …
,
(pp. 135-156)
.
2015
Persistent link: https://www.econbiz.de/10011488343
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2
Effective algorithms for optimal portfolio deleveraging problem with cross impact
Luo, Hezhi
;
Chen, Yuanyuan
;
Zhang, Xianye
;
Li, Duan
; …
- In:
Mathematical finance : an international journal of …
34
(
2024
)
1
,
pp. 36-89
Persistent link: https://www.econbiz.de/10014471144
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