Portfolio rebalancing with transaction costs and a minimal purchase unit

被引：0
|
作者：
Fang, Y [1 ]
Lai, KK
Wang, SY
机构：
[1] Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
[2] City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
来源：
DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS | 2005年 / 12卷 / 04期
关键词：
portfolio rebalancing; transaction costs; minimal purchase unit; semi-absolute deviation risk function; mixed-integer linear programming problem;
D O I：
暂无
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
A mean semi-absolute deviation model is proposed for portfolio rebalancing with transaction costs and taxes. Considering the existence of a minimal purchase unit of securities, a mixed integer linear programming model is proposed. Due to the high computational complexity of the model, a heuristic algorithm is proposed. An example is given to illustrate that the model and the heuristic algorithm can be used efficiently to solve portfolio rebalancing problem by using real data from the Shanghai Stock Exchange.
引用
收藏
页码：499 / 515
页数：17
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