A multi-objective approach to multi-period: portfolio optimization with transaction costs
M Radulescu, CZ Radulescu - … Decision Aid Using Multiple Criteria: Recent …, 2018 - Springer
Portfolio optimization with transaction costs is a problem that involves non-smooth functions.
Transaction costs on each asset are usually assumed to be convex functions of the amount …
Transaction costs on each asset are usually assumed to be convex functions of the amount …