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Research Report
Treatment of Fixed Transaction Costs in Barra OptimizerThis paper deals with fixed transaction costs in the context of portfolio optimization. These are transaction costs that do not depend on the traded amount. We show how such costs need to be taken into account during the portfolio optimization process, and describe the algorithm Barra Optimizer uses to address the costs. Computational results demonstrate the performance of the algorithm.
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Research Report
Robust Portfolio Optimization: A Closer LookPortfolio Management Analytics Barra Open Optimizer
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Research Report
Practical Convex Quadratic Programming - Barra Optimizer for Portfolio OptimizationPortfolio Management Analytics Barra Open Optimizer
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Research Report
Practical Convex Quadratic Programming