Large scale portfolio optimization with piecewise linear transaction costs

DOI10.1080/00207160802263858MaRDI QIDQ3605210zbMATH OpenOpenAlexFDO

Authors Marina Potaptchik, Levent Tunçel, Henry Wolkowicz

Publication date 23 February 2009

Published in Optimization Methods \& Software (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160802263858

zbMATH Keywords

piecewise differentiable functionsportfolio optimizationquadratic programmingseparable problems

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Quadratic programming (90C20) Sensitivity, stability, parametric optimization (90C31) Interior-point methods (90C51) Portfolio theory (91G10)

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Cited in

(13)

• Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
• A cooperative bargaining framework for decentralized portfolio optimization
• Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs
• A unified approach to portfolio optimization with linear transaction costs
• Portfolio optimization with linear and fixed transaction costs
• An algorithm for portfolio optimization with variable transaction costs. II: Computational analysis
• An algorithm for portfolio optimization with variable transaction costs. I: Theory
• Multi-market portfolio optimization with conditional value at risk
• Large-Scale Portfolio Optimization
• VaR optimal portfolio with transaction costs
• Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
• Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
• Low order-value approach for solving var-constrained optimization problems

Describes a project that uses

Uses Software

• ve08

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