Portfolio Selection under Piecewise Affine Transaction Costs: An Integer Quadratic Formulation

被引：0
|
作者：
Lemrabott, Mohamed [1 ]
Gueye, Serigne [1 ]
Yassine, Adnan [1 ]
Rakotondratsimba, Yves [2 ]
机构：
[1] Lab Math Appl Havre, 25 Rue Philippe Lebon, F-76600 Le Havre, France
[2] ECE, F-75007 Paris, France
来源：
MODELLING, COMPUTATION AND OPTIMIZATION IN INFORMATION SYSTEMS AND MANAGEMENT SCIENCES, PROCEEDINGS | 2008年 / 14卷
关键词：
Piecewise transaction costs; Integer quadratic programming; portfolio selection; Linearization;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this paper we consider the problem of selecting assets for which transaction costs are given by piecewise affine functions. Given practical constraints related to budget and buy-in thresholds, our purpose is to determine the number of each asset i that can produce the maximum return of a portfolio composed of (n + 1) assets (one of them is free of risk). The problem is formulated as an integer quadratic problem and afterwards linearized. some numerical experiments, using Ilog Cplex 10.1, has been performed. They show that the methodology is promising.
引用
收藏
页码：190 / +
页数：2
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