Best M.J.

M.J. Best

Information about the author M.J. Best will soon be added to the site.
Found 4 papers in total
An algorithm for portfolio optimization with variable transaction costs, Part 2: Computational analysis
An algorithm for portfolio optimization with variable transaction costs, Part 2: Computational analysis
2007
In Part 1 of this paper, we introduced a (2 K +1) n -dimensional portfolio...
An algorithm for portfolio optimization with variable transaction costs, Part 1: Theory
An algorithm for portfolio optimization with variable transaction costs, Part 1: Theory
2007
A portfolio optimization problem consists of maximizing an expected utility function...
The efficient frontier for bounded assets
The efficient frontier for bounded assets
2000
This paper develops a closed form solution of the mean-variance portfolio selection...
A quadratic programming algorithm
A quadratic programming algorithm
1988
By using conjugate directions a method for solving convex quadratic programming...
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