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An Omega portfolio model with dynamic return thresholds
Yu, Jing-Rung; Chiou, Wan-jiun Paul; Lee, Wen-Yi - In: International transactions in operational research : a … 30 (2023) 5, pp. 2528-2545
Persistent link: https://www.econbiz.de/10014259294
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Fairness and efficiency in multiportfolio optimization
Iancu, Dan A.; Trichakis, Nikolaos - In: Operations research 62 (2014) 6, pp. 1283-1301
Persistent link: https://www.econbiz.de/10010471863
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High-dimensional portfolio optimization with transaction costs
Broadie, Mark; Shen, Weiwei - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-49
Persistent link: https://www.econbiz.de/10011523840
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Risk constraints for portfolio optimization with fixed-fee transaction cost
Hirsch, Michael J.; Navarro, Nicole - In: The journal of investment strategies 6 (2017) 2, pp. 91-112
Persistent link: https://www.econbiz.de/10011668136
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Multi-period mean-variance portfolio selection with practical constraints using heuristic genetic algorithms
Chen, Yao-Tsung; Yang, Hao-Qun - In: International journal of computational economics and … 10 (2020) 3, pp. 209-221
Persistent link: https://www.econbiz.de/10012271054
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High order portfolio optimization problem with transaction costs
Li, Xin; Zhang, Peiai - In: Inventi impact: international trade (2019) 4, pp. 208-226
Persistent link: https://www.econbiz.de/10012432352
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High order portfolio optimization problem with transaction costs
Li, Xin; Zhang, Peiai - In: Modern economy 10 (2019) 6, pp. 1507-1525
Persistent link: https://www.econbiz.de/10012178810
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Can continuous-time portfolio optimization really be applied?
Korn, Ralf - In: IMA journal of management mathematics 36 (2025) 3, pp. 405-426
Persistent link: https://www.econbiz.de/10015423318
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An LP approach to synthetic option replication with transaction costs and multiple security selection
Dennis, Patrick - In: Advances in futures and options research : a research annual 8 (1995), pp. 53-84
Persistent link: https://www.econbiz.de/10001211317
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Valuation of options on several risky assets when there are transactions costs
Boyle, Phelim P. - In: Advances in futures and options research : a research annual 9 (1997), pp. 111-127
Persistent link: https://www.econbiz.de/10001226768