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Mean-variance-skewness model for portfolio selection with transaction costs
Liu, S; Wang, SY; Qiu, W
2003-03-15
Source PublicationINTERNATIONAL JOURNAL OF SYSTEMS SCIENCE
ISSN0020-7721
Volume34Issue:4Pages:255-262
AbstractA mean-variance-skewness model is proposed for portfolio selection with transaction costs. It is assumed that the transaction cost is a V-shaped function of the difference between the existing portfolio and a new one. The mean-variance-skewness model is a non-smooth programming problem. To overcome the difficulty arising from non-smoothness, the problem was transformed into a linear programming problem. Therefore, this technique can be used to solve large-scale portfolio selection problems. A numerical example is used to illustrate that the method can be efficiently used in practice.
DOI10.1080/0020772031000158492
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:000185294500003
PublisherTAYLOR & FRANCIS LTD
Citation statistics
Cited Times:55[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/18849
Collection中国科学院数学与系统科学研究院
Affiliation1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
2.Hunan Univ, Coll Business Adm, Changsha, Peoples R China
3.Beijing Univ Aeronaut & Astronaut, Sch Management, Beijing 100083, Peoples R China
4.Univ Tsukuba, Inst Policy & Planning, Tsukuba, Ibaraki 305, Japan
Recommended Citation
GB/T 7714
Liu, S,Wang, SY,Qiu, W. Mean-variance-skewness model for portfolio selection with transaction costs[J]. INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE,2003,34(4):255-262.
APA Liu, S,Wang, SY,&Qiu, W.(2003).Mean-variance-skewness model for portfolio selection with transaction costs.INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE,34(4),255-262.
MLA Liu, S,et al."Mean-variance-skewness model for portfolio selection with transaction costs".INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE 34.4(2003):255-262.
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