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

quadratic programmingportfolio optimizationseparable problemspiecewise differentiable functions

Mathematics Subject Classification ID

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

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Cited in

(13)

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

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Uses Software

• ve08

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