A linear programming algorithm for optimal portfolio selection with transaction costs.
https://doi.org/10.1080/002077200291514
@article{DBLP:journals/ijsysc/LiWD00,
author = {Zhongfei Li and
Shouyang Wang and
Xiaotie Deng},
title = {A linear programming algorithm for optimal portfolio selection with
transaction costs},
journal = {Int. J. Systems Science},
volume = {31},
number = {1},
pages = {107--117},
year = {2000},
url = {https://doi.org/10.1080/002077200291514},
doi = {10.1080/002077200291514},
timestamp = {Fri, 27 Mar 2020 08:34:44 +0100},
biburl = {https://dblp.org/rec/journals/ijsysc/LiWD00.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
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