| An efficient algorithm for solving a mean-variance model under nonconvex transaction costs (PJO) |
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Volume 2
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Number 2
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pp. 385-394
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| An efficient algorithm for solving a mean-variance model under nonconvex transaction costs |
| Rei Yamamoto and Hiroshi Konno |
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| Key words |
Mathematices Subject Classification |
| mean-variance model, nonconvex transaction cost, linearization, 0-1 mixed integer programming problem |
90C11, 90C26, 90C90 |
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| Copyright© 2011 Yokohama Publishers |
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