A simple algorithm to incorporate transactions costs in quadratic optimisation

Adcock, C.J. and Meade, N. (1994) A simple algorithm to incorporate transactions costs in quadratic optimisation. European Journal of Operational Research, 79 (1). pp. 85-94. ISSN 0377-2217

Abstract

Metadata

Keywords: Finance; Quadratic programming; Portfolio selection; MAD estimation
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Sheffield University Management School
Depositing User: Miss Anthea Tucker
Date Deposited: 21 Jun 2010 15:09
Last Modified: 21 Jun 2010 15:09
Published Version: http://dx.doi.org/10.1016/0377-2217(94)90397-2
Status: Published
Publisher: Elsevier
Identification Number: 10.1016/0377-2217(94)90397-2

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