DC programming approaches for discrete portfolio optimization under concave transaction costs
The paper investigates DC programming and DCA for both modeling discrete portfolio optimization under concave transaction costs as DC programs, and their solution. DC reformulations are established by using penalty techniques in DC programming. A suitable global optimization branch and bound technique is also developed where a DC relaxation technique is used for lower bounding. Numerical simulations are reported that show the efficiency of DCA and the globality of its computed solutions, compared to standard algorithms for nonconvex nonlinear integer programs.
Optim. Lett.