Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs

Business & Economics

• Transaction Costs 100%
• Global Optimization 95%
• Integer Programming 76%
• Portfolio Optimization 73%
• Branch and Bound Algorithm 45%
• Branch-and-bound 43%
• Measure of Risk 39%
• Optimization Problem 31%
• Deviation 29%

Mathematics

• Transaction Costs 98%
• Portfolio Optimization 95%
• Integer Programming 75%
• Global Optimization 72%
• 0-1 Integer Programming 26%
• Branch and Bound Method 23%
• Branch and Bound Algorithm 21%
• Linear Constraints 18%
• Deviation 15%
• Optimization Problem 12%
• Standards 9%

Engineering & Materials Science

• Integer programming 74%
• Global optimization 72%
• Branch and bound method 48%
• Costs 26%