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

DOI10.1142/S0219024901001292MaRDI QIDQ3523608zbMATH OpenOpenAlexFDO

Authors 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

branch and bound algorithmconcave transaction costindex trackingmean-absolute deviation modelminimal transaction unitportfolio optimization

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Recommendations

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Cites work

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

Cited in

(10)

• A two-stage approach to the UCITS-constrained index-tracking problem
• 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
• Robust portfolio selection for index tracking
• Index-plus-alpha tracking under concave transaction cost
• Index tracking with fixed and variable transaction costs
• Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs
• Solving the index tracking problem: a continuous optimization approach
• Robust portfolio optimization with a hybrid heuristic algorithm
• Kernel search: an application to the index tracking problem

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