Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs

Tiago Pascoal Filomena, Miguel A. Lejeune. Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs. J. Optimization Theory and Applications, 161(1):308-329, 2014. [doi]

Abstract

Abstract is missing.