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A linear programming algorithm for optimal portfolio selection with transaction costs
Li, ZF; Wang, SY; Deng, XT
2000
Source PublicationINTERNATIONAL JOURNAL OF SYSTEMS SCIENCE
ISSN0020-7721
Volume31Issue:1Pages:107-117
AbstractWe 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.
Language英语
WOS Research AreaAutomation & Control Systems ; Computer Science ; Operations Research & Management Science
WOS SubjectAutomation & Control Systems ; Computer Science, Theory & Methods ; Operations Research & Management Science
WOS IDWOS:000084680900014
PublisherTAYLOR & FRANCIS LTD
Citation statistics
Cited Times:33[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/14925
Collection中国科学院数学与系统科学研究院
Affiliation1.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
Recommended Citation
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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