Article ID: | iaor200036 |
Country: | United States |
Volume: | 14 |
Issue: | 4 |
Start Page Number: | 275 |
End Page Number: | 283 |
Publication Date: | Dec 1998 |
Journal: | Applied Stochastic Models and Data Analysis |
Authors: | Janssen J., Hamza F. |
Keywords: | portfolio analysis |
In this paper, we present a realistic portfolio optimization problem which takes into account real characteristics of the portfolio which are disregarded in most optimization models. These are different transaction costs, minimum transaction units and investor's current portfolio holding. In order to obtain a greater realism in our problem modelling, a set of binary variables and disjunctive constraints can be introduced. Finally, we show that separable programming techniques can be applied successfully for solving our problem.