Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments

DOI10.1016/J.ORL.2012.01.003zbMATH Open1245.90074OpenAlexW2075545861MaRDI QIDQ439922FDOQ439922

Authors: Miguel A. Lejeune, Tiago P. Filomena 

Publication date: 17 August 2012

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2012.01.003

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zbMATH Keywords

stochastic programmingtransaction costsestimation riskprobabilistic Markowitzstochastic portfolio optimization

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic programming (90C15)

Cites Work

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• Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
• A VaR Black-Litterman model for the construction of absolute return fund-of-funds

Cited In (17)

• Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
• Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection
• Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
• Optimization ofN-risky asset portfolios with stochastic variance and transaction costs
• Stochastic mean absolute deviation model with random transaction costs: securities from the Johannesburg stock market
• Intertemporal portfolio optimization with small transaction costs and stochastic variance
• Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
• Title not available (Why is that?)
• Game Theoretical Approach for Reliable Enhanced Indexation
• Tax-aware portfolio construction via convex optimization
• Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
• Regularized stochastic dual dynamic programming for convex nonlinear optimization problems
• Portfolio optimization with linear and fixed transaction costs
• Characterization of efficient frontier for mean-variance model with a drawdown constraint
• Optimal Portfolios and Pricing of Financial Derivatives Under Proportional Transaction Costs
• Random credibilitic portfolio selection problem with different convex transaction costs
• A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint

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