Minimal Cost Rebalancing under Concave Transaction Costs and Minimal Transaction Unit Constraints

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概要

• 論文の詳細を見る
• 社団法人日本オペレーションズ・リサーチ学会の論文
• 1999-09-20

著者

• Konno Hiroshi

  Tokyo Institute of Technology

• Wijayanayake Annista

  Tokyo Institute of Technology

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• OUTER APPROXIMATION ALGORITHMS FOR LOWER RANK BILINEAR PROGRAMMING PROBLEMS
• Minimal Cost Rebalancing under Concave Transaction Costs and Minimal Transaction Unit Constraints
• MEAN-ABSOLUTE DEVIATION PORTFOLIO OPTIMIZATION MODEL UNDER TRANSACTION COSTS
• SOLVING LARGE SCALE MEAN-VARIANCE MODELS WITH DENSE NON-FACTORABLE COVARIANCE MATRICES

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