caa a22 4500 463169654 CHVBK 20180406164809.0 cr unu---uuuuu 170326e20071201xx s 000 0 eng 10.1007/s10957-007-9249-2 doi (NATIONALLICENCE)springer-10.1007/s10957-007-9249-2 An Algorithm for Portfolio Optimization with Variable Transaction Costs, Part 2: Computational Analysis [Elektronische Daten] [M. Best, J. Hlouskova] In Part 1 of this paper, we introduced a (2K+1)n-dimensional portfolio optimization problem with variable transaction costs taken into account. We presented a method for solving the (2K+1)n-dimensional problem by solving a sequence of n-dimensional optimization problems accounting for the transaction costs implicitly rather than explicitly. In Part 2, we propose a degeneracy resolving rule, present computational results comparing our method with the interior-point optimizer of Mosek, well known for its speed and efficient use of sparsity, and also address the efficiency of the new method. Springer Science+Business Media, LLC, 2007 Convex programming nationallicence Portfolio optimization nationallicence Variable transaction costs nationallicence Best M. Department of Combinatorics and Optimization, Faculty of Mathematics, University of Waterloo, Waterloo, Ontario, Canada aut Hlouskova J. Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria aut Journal of Optimization Theory and Applications Springer US; http://www.springer-ny.com 135/3(2007-12-01), 531-547 0022-3239 135:3<531 2007 135 10957 https://doi.org/10.1007/s10957-007-9249-2 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s10957-007-9249-2 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Best M. Department of Combinatorics and Optimization, Faculty of Mathematics, University of Waterloo, Waterloo, Ontario, Canada aut NATIONALLICENCE 700 1- Hlouskova J. Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria aut NATIONALLICENCE 773 0- Journal of Optimization Theory and Applications Springer US; http://www.springer-ny.com 135/3(2007-12-01), 531-547 0022-3239 135:3<531 2007 135 10957 Metadata rights reserved Springer special CC-BY-NC licence nationallicence SWISSBIB 463169611 BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer