A linear programming algorithm for optimal portfolio selection with transaction costs

	A linear programming algorithm for optimal portfolio selection with transaction costs
	Li, ZF ; Wang, SY ; Deng, XT
刊名	INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE
	2000
卷号	31 期号:1 页码:107-117
ISSN号	0020-7721
英文摘要	We study the optimal portfolio selection problem with transaction costs. In general, the efficient frontier can be determined by solving a parametric non-quadratic programming problem. In a general setting, the transaction cost is a V-shaped function of difference between the existing and the new portfolio. We show how to transform this problem into a quadratic programming model. Hence a linear programming algorithm is applicable by establishing a linear approximation on the utility function of return and variance.
WOS研究方向	Automation & Control Systems ; Computer Science ; Operations Research & Management Science
语种	英语
出版者	TAYLOR & FRANCIS LTD
WOS记录号	WOS:000084680900014
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/14924]
专题	中国科学院数学与系统科学研究院
通讯作者	Li, ZF
作者单位	1.Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China 2.Nat Sci Fdn China, Dept Management Sci, Beijing 100083, Peoples R China 3.City Univ Hong Kong, Dept Comp Sci, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Li, ZF,Wang, SY,Deng, XT. A linear programming algorithm for optimal portfolio selection with transaction costs[J]. INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE,2000,31(1):107-117.
APA	Li, ZF,Wang, SY,&Deng, XT.(2000).A linear programming algorithm for optimal portfolio selection with transaction costs.INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE,31(1),107-117.
MLA	Li, ZF,et al."A linear programming algorithm for optimal portfolio selection with transaction costs".INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE 31.1(2000):107-117.