Pierre Chen

National School for Statistical and Economic Administration (ENSAE)

92245 Malakoff Cedex

France

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Scholarly Papers (1)

1.

A Note on Portfolio Optimization with Quadratic Transaction Costs

Number of pages: 18 Posted: 22 Sep 2020
National School for Statistical and Economic Administration (ENSAE), Amundi Asset Management, Amundi Asset Management and Societe Generale
Downloads 54 (468,683)

Abstract:

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Portfolio allocation, mean-variance optimization, transaction cost, quadratic programming, alternating direction method of multipliers