A compromise solution to mutual funds portfolio selection with transaction costs

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	A compromise solution to mutual funds portfolio selection with transaction costs
	Xia, YS ; Wang, SY ; Deng, XT
	2001-11-01
发表期刊	EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
ISSN	0377-2217
卷号	134 期号:3 页码:564-581
摘要	This paper considers the portfolio selection problem with transaction costs which are assumed to be a V-shaped function of the difference between an existing portfolio and a new one. Under some assumptions on the variance-covariance matrix of returns, we derive a compromise solution to this portfolio selection problem by solving a linear program, The compromise solution is then extended to include a riskless asset which allows short sale. We also compare the results of our compromise solution with results derived by the direct utility function method, which is solved by a specially designed genetic algorithm in this paper. Results show that the expected return and the standard deviation of the compromise solution are both smaller than those solutions from the direct utility function method. (C) 2001 Elsevier Science B.V. All rights reserved.
关键词	portfolio selection compromise solution transaction cost direct utility method genetic algorithm
语种	英语
WOS研究方向	Business & Economics ; Operations Research & Management Science
WOS类目	Management ; Operations Research & Management Science
WOS记录号	WOS:000170961300009
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/16840
专题	中国科学院数学与系统科学研究院
通讯作者	Wang, SY
作者单位	1.Univ Texas, Dept Management Sci & Informat Syst, Austin, TX USA 2.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 3.City Univ Hong Kong, Dept Comp Sci, Hong Kong, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Xia, YS,Wang, SY,Deng, XT. A compromise solution to mutual funds portfolio selection with transaction costs[J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,2001,134(3):564-581.
APA	Xia, YS,Wang, SY,&Deng, XT.(2001).A compromise solution to mutual funds portfolio selection with transaction costs.EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,134(3),564-581.
MLA	Xia, YS,et al."A compromise solution to mutual funds portfolio selection with transaction costs".EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 134.3(2001):564-581.