VaR optimal portfolio with transaction costs

被引：21
|
作者：
Krejic, Natasa [1 ]
Kumaresan, Miles [2 ]
Roznjik, Andrea [3 ]
机构：
[1] Univ Novi Sad, Dept Math & Informat, Novi Sad 21000, Serbia
[2] Algonetix LLP, London W1J 6BD, England
[3] Univ Novi Sad, Fac Civil Engn, Subotica 24000, Serbia
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2011年 / 218卷 / 08期
关键词：
Portfolio optimization; VaR; Transaction costs; Market impact; Smoothing methods; SVaR; ORDER-VALUE OPTIMIZATION; SELECTION;
D O I：
10.1016/j.amc.2011.10.047
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We consider the problem of portfolio optimization under VaR risk measure taking into account transaction costs. Fixed costs as well as impact costs as a nonlinear function of trading activity are incorporated in the optimal portfolio model. Thus the obtained model is a nonlinear optimization problem with nonsmooth objective function. The model is solved by an iterative method based on a smoothing VaR technique. We prove the convergence of the considered iterative procedure and demonstrate the nontrivial influence of transaction costs on the optimal portfolio weights. (C) 2011 Elsevier Inc. All rights reserved.
引用
收藏
页码：4626 / 4637
页数：12
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