Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints

DOI10.1023/A:1013850928936MaRDI QIDQ598593zbMATH OpenOpenAlexFDO

Authors Hiroshi Konno, Annista Wijayanayake

Publication date 12 August 2004

Published in Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1013850928936

zbMATH Keywords

D.c. programmingMean-absolute deviation modelMinimal transaction unit constraintNonconvex transaction costPortfolio optimization

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

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Cited in

(23)

• Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm
• Application of artificial bee colony algorithm to portfolio adjustment problem with transaction costs
• Mean-variance portfolio optimal problem under concave transaction cost
• Optimization of a long-short portfolio under nonconvex transaction cost
• Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs
• A multi-period fuzzy portfolio optimization model with minimum transaction lots
• A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint
• An amendatory branch and bound algorithm for MAD model with concave transaction costs and bounded assets constraints
• MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS
• Matrix decomposition and Lagrangian dual method for discrete portfolio optimization under concave transaction costs
• DC programming approach for portfolio optimization under step increasing transaction costs
• An exact algorithm for factor model in portfolio selection with roundlot constraints
• Mean-absolute deviation portfolio optimization model under transaction costs
• A note on mean absolute deviation
• Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
• DC programming approaches for discrete portfolio optimization under concave transaction costs
• Solving a class of low rank d.c. programs via a branch and bound approach: a computational experience
• A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments
• Possibilistic approaches to portfolio selection problem with general transaction costs and a CLPSO algorithm
• A branch and reduce approach for solving a class of low rank d.c. programs
• Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
• An optimization model for minimizing systemic risk
• Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers

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