Portfolio Selection Under Nonsmooth Convex Transaction Costs

Portfolio Selection Under Nonsmooth Convex Transaction Costs

Show other versions (1)

We consider a portfolio selection problem in the presence of transaction costs. Transaction costs on each asset are assumed to be a convex function of the amount sold or bought. This function can be nondifferentiable in a finite number of points. The objective function of this problem is a su...

Full description

Bibliographic Details
Main Author: Potaptchik, Marina
Format: Others
Language:en
Published: University of Waterloo 2007
Subjects:
Mathematics
Convex programming
piecewise differentiable functions
portfolio optimization
transaction costs.
Online Access:http://hdl.handle.net/10012/2940

Internet

http://hdl.handle.net/10012/2940

Similar Items