KMS Of Academy of mathematics and systems sciences, CAS
A linear programming algorithm for optimal portfolio selection with transaction costs | |
Li, ZF; Wang, SY; Deng, XT | |
2000 | |
发表期刊 | INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE |
ISSN | 0020-7721 |
卷号 | 31期号:1页码:107-117 |
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. |
语种 | 英语 |
WOS研究方向 | Automation & Control Systems ; Computer Science ; Operations Research & Management Science |
WOS类目 | Automation & Control Systems ; Computer Science, Theory & Methods ; Operations Research & Management Science |
WOS记录号 | WOS:000084680900014 |
出版者 | TAYLOR & FRANCIS LTD |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/14925 |
专题 | 中国科学院数学与系统科学研究院 |
通讯作者 | Li, ZF |
作者单位 | 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 |
推荐引用方式 GB/T 7714 | Li, ZF,Wang, SY,Deng, XT. A linear programming algorithm for optimal portfolio selection with transaction costs[J]. INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE,2000,31(1):107-117. |
APA | Li, ZF,Wang, SY,&Deng, XT.(2000).A linear programming algorithm for optimal portfolio selection with transaction costs.INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE,31(1),107-117. |
MLA | Li, ZF,et al."A linear programming algorithm for optimal portfolio selection with transaction costs".INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE 31.1(2000):107-117. |
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