Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments

DOI10.1016/j.orl.2012.01.003zbMath1245.90074OpenAlexW2075545861MaRDI QIDQ439922

Miguel A. Lejeune, Tiago Pascoal Filomena

Publication date: 17 August 2012

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2012.01.003

zbMATH Keywords

stochastic programmingtransaction costsestimation riskprobabilistic Markowitzstochastic portfolio optimization

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

Related Items

Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints, Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming, Complex portfolio selection via convex mixed‐integer quadratic programming: a survey, Characterization of efficient frontier for mean-variance model with a drawdown constraint, Regularized stochastic dual dynamic programming for convex nonlinear optimization problems, Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs, Game Theoretical Approach for Reliable Enhanced Indexation, Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Computing the nearest correlation matrix--a problem from finance
• Portfolio management with heuristic optimization.
• Second-order cone programming
• Robust asset allocation
• Portfolio optimization with linear and fixed transaction costs
• Conditional value-at-risk in stochastic programs with mixed-integer recourse
• An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
• Optimization Methods in Finance
• A FAST ALGORITHM FOR SOLVING LARGE SCALE MEAN-VARIANCE MODELS BY COMPACT FACTORIZATION OF COVARIANCE MATRICES
• Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
• A VaR Black–Litterman model for the construction of absolute return fund-of-funds
• Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
• A Stochastic Programming Model
• MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
• Robust Portfolio Selection Problems
• Safety First and the Holding of Assets
• Selecting portfolios with fixed costs and minimum transaction lots