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Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints

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References

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2001Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints193 cited
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2010A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments42 cited
2005Global Optimization Versus Integer Programming in Portfolio Optimization under Nonconvex Transaction Costs37 cited
2008Models and Simulations for Portfolio Rebalancing34 cited
2012Long-Short Portfolio Optimization Under Cardinality Constraints by Difference of Convex Functions Algorithm34 cited
2005Integer programming approaches in mean-risk models

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34 cited