A linear programming algorithm for optimal portfolio selection with transaction costs

被引：37
|
作者：
Li, ZF [1 ]
Wang, SY
Deng, XT
机构：
[1] Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China
[2] Nat Sci Fdn China, Dept Management Sci, Beijing 100083, Peoples R China
[3] City Univ Hong Kong, Dept Comp Sci, Hong Kong, Peoples R China
来源：
INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE | 2000年 / 31卷 / 01期
关键词：
D O I：
10.1080/002077200291514
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We study the optimal portfolio selection problem with transaction costs. In general, the efficient frontier can be determined by solving a parametric non-quadratic programming problem. In a general setting, the transaction cost is a V-shaped function of difference between the existing and the new portfolio. We show how to transform this problem into a quadratic programming model. Hence a linear programming algorithm is applicable by establishing a linear approximation on the utility function of return and variance.
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页码：107 / 117
页数：11
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