An Algorithm for Portfolio Optimization with Transaction Costs

DOI10.1287/mnsc.1050.0418zbMath1232.91725OpenAlexW2148861259MaRDI QIDQ3115937

Michael J. Best, Jaroslava Hlouskova

Publication date: 21 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.1050.0418

zbMATH Keywords

convex programmingportfolio optimizationtransaction costs\texttt{CPLEX}

Mathematics Subject Classification ID

Convex programming (90C25) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (14)

Portfolio rebalancing model with transaction costs using interval optimization ⋮ Quadratic programming with transaction costs ⋮ Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis ⋮ Portfolio optimization with transaction costs: a two-period mean-variance model ⋮ Dotted Representations of Mean-Variance Efficient Frontiers and their Computation ⋮ Degeneracy resolution for bilinear utility functions ⋮ Efficient implementation of an active set algorithm for large-scale portfolio selection ⋮ Dealing with complex transaction costs in portfolio management ⋮ Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs ⋮ No-transaction bounds and estimation risk ⋮ An algorithm for portfolio optimization with variable transaction costs. II: Computational analysis ⋮ An algorithm for portfolio optimization with variable transaction costs. I: Theory ⋮ Twenty years of linear programming based portfolio optimization ⋮ A new portfolio rebalancing model with transaction costs

Uses Software

• CPLEX

This page was built for publication: An Algorithm for Portfolio Optimization with Transaction Costs