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- W3123375008 abstract "In this contribution we consider a dynamic portfolio optimization problem where the manager has to deal with the presence of minimum guarantee requirements on the performance of the portfolio. We briefly discuss different possibilities for the formulation of the problem and present a quite general formulation which includes transaction costs, cardinality constraints and buy-in thresholds. The presence of realistic and operational constraints introduces binary and integer variables greatly increasing the complexity of the problem." @default.
- W3123375008 created "2021-02-01" @default.
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- W3123375008 date "2009-11-01" @default.
- W3123375008 modified "2023-09-27" @default.
- W3123375008 title "Portfolio management with minimum guarantees: some modeling and optimization issues" @default.
- W3123375008 hasPublicationYear "2009" @default.
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