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

DOI10.1016/j.orl.2012.01.003zbMath1245.90074MaRDI QIDQ439922

Miguel A. Lejeune, Tiago Pascoal 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

zbMATH Keywords

stochastic programming; transaction costs; estimation risk; probabilistic Markowitz; stochastic portfolio optimization

Mathematics Subject Classification ID

90C15: Stochastic programming

91G10: Portfolio theory

Related Items

Game Theoretical Approach for Reliable Enhanced Indexation, Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection, Characterization of efficient frontier for mean-variance model with a drawdown constraint, Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints, Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming, Regularized stochastic dual dynamic programming for convex nonlinear optimization problems, Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs

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