An exact approach for portfolio selection with transaction costs and rounds

By Renata Mansini, M. Speranza. 2005

70 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/305779c78b2df6b44ba03cb135d300188d740848

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Dimitris J. Bertsimas

In Finance

1. Dimitris J. Bertsimas

In Management Science and Operations Research

1. Dimitris J. Bertsimas
2. Melvyn Sim
3. Arkadi Nemirovski
4. Aurélie C. Thiele
5. Nathan Kallus
6. Constantine Caramanis
7. Jean B. Lasserre
8. Aharon Ben-Tal

Citations in the corpus

• Algorithm for cardinality-constrained quadratic optimization (2009, background): “In [16], the authors present a divide-and-conquer algorithm that partitions the feasible set of the solutions to find the exact solution to a problem with fixed transaction costs and round lots.”