MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS

DOI10.1142/S0219024901001292zbMath1153.91531OpenAlexW2094508142MaRDI QIDQ3523608

Hiroshi Konno, Annista Wijayanayake

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024901001292

zbMATH Keywords

portfolio optimizationbranch and bound algorithmindex trackingmean-absolute deviation modelconcave transaction costminimal transaction unit

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (8)

A two-stage approach to the UCITS-constrained index-tracking problem ⋮ Robust portfolio optimization with a hybrid heuristic algorithm ⋮ Solving the index tracking problem: a continuous optimization approach ⋮ Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming ⋮ Optimal construction and rebalancing of index-tracking portfolios ⋮ Kernel search: an application to the index tracking problem ⋮ Robust portfolio selection for index tracking ⋮ Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs

Cites Work

• A simple algorithm to incorporate transactions costs in quadratic optimization
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Decomposition branch and bound method for globally solving linearly constrained indefinite quadratic minimization problems
• Large-Scale Portfolio Optimization
• Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
• An Algorithm for Separable Nonconvex Programming Problems

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