An algorithm for portfolio optimization with variable transaction costs. I: Theory

DOI10.1007/S10957-007-9252-7MaRDI QIDQ2483032zbMATH OpenOpenAlexFDO

Authors Michael J. Best, Jaroslava Hlouskova

Publication date 5 May 2008

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10957-007-9252-7

zbMATH Keywords

convex programmingportfolio optimizationvariable transaction costs

Mathematics Subject Classification ID

Convex programming (90C25) Portfolio theory (91G10)

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Cites work

• A Class of Accelerated Conjugate Direction Methods for Linearly Constrained Minimization Problems
• An algorithm for portfolio optimization with transaction costs
• Portfolio optimization under liquidity costs
• Portfolio selection and transactions costs
• Quadratic programming with transaction costs

Cited in

(25)

• A sensitivity-based optimization approach for portfolio optimization with proportional transaction costs
• An algorithm for portfolio optimization with transaction costs
• Portfolio optimization model with transaction costs.
• Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs
• A penalty decomposition algorithm for the extended mean-variance-CVaR portfolio optimization problem
• DC programming approach for portfolio optimization under step increasing transaction costs
• SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS
• A simple algorithm to incorporate transactions costs in quadratic optimization
• Quadratic programming with transaction costs
• An algorithm for portfolio optimization with variable transaction costs. II: Computational analysis
• Technical note: A robust perspective on transaction costs in portfolio optimization
• Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
• Degeneracy resolution for bilinear utility functions
• Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
• An optimal time-management policy for labor supply and consumption decisions
• A method for portfolio choice with transaction costs
• Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach
• Large-scale portfolio allocation under transaction costs and model uncertainty
• Portfolio optimization with linear and fixed transaction costs
• Primal-dual methods for the computation of trading regions under proportional transaction costs
• High-dimensional portfolio optimization with transaction costs
• Time-varying minimum-cost portfolio insurance under transaction costs problem via beetle antennae search algorithm (BAS)
• Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach
• A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint
• A linear programming algorithm for optimal portfolio selection with transaction costs

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