The mean-semivariances approach to realistic portfolio optimization subject to transaction costs

The mean-semivariances approach to realistic portfolio optimization subject to transaction costs

0.00 Avg rating0 Votes
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: ,
Keywords: portfolio analysis
Abstract:

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.

Reviews

Required fields are marked *. Your email address will not be published.