Mean-variance-skewness model for portfolio selection with transaction costs

doi:10.1080/0020772031000158492

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	Mean-variance-skewness model for portfolio selection with transaction costs
	Liu, S ; Wang, SY ; Qiu, W
	2003-03-15
发表期刊	INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE
ISSN	0020-7721
卷号	34 期号:4 页码:255-262
摘要	A 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.
DOI	10.1080/0020772031000158492
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:000185294500003
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/18849
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.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
推荐引用方式 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.