Portfolio rebalancing with transaction costs and a minimal purchase unit

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	Portfolio rebalancing with transaction costs and a minimal purchase unit
	Fang, Y; Lai, KK ; Wang, SY
	2005-08-01
发表期刊	DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS
ISSN	1492-8760
卷号	12 期号:4 页码:499-515
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.
关键词	portfolio rebalancing transaction costs minimal purchase unit semi-absolute deviation risk function mixed-integer linear programming problem
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000232424400003
出版者	WATAM PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/1725
专题	系统科学研究所
通讯作者	Fang, Y
作者单位	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
推荐引用方式 GB/T 7714	Fang, Y,Lai, KK,Wang, SY. Portfolio rebalancing with transaction costs and a minimal purchase unit[J]. DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS,2005,12(4):499-515.
APA	Fang, Y,Lai, KK,&Wang, SY.(2005).Portfolio rebalancing with transaction costs and a minimal purchase unit.DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS,12(4),499-515.
MLA	Fang, Y,et al."Portfolio rebalancing with transaction costs and a minimal purchase unit".DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS 12.4(2005):499-515.