کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1142511 957153 2012 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Stochastic portfolio optimization with proportional transaction costs: Convex reformulations and computational experiments
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات گسسته و ترکیبات
پیش نمایش صفحه اول مقاله
Stochastic portfolio optimization with proportional transaction costs: Convex reformulations and computational experiments
چکیده انگلیسی

We propose a probabilistic version of the Markowitz portfolio problem with proportional transaction costs. We derive equivalent convex reformulations, and analyze their computational efficiency for solving large (up to 2000 securities) portfolio problems. There is a great disparity in the solution times. The time differential between formulations can reach several orders of magnitude for the largest instances. The second-order cone formulation in which the number of quadratic terms is invariant to the number of assets is the most efficient.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Operations Research Letters - Volume 40, Issue 3, May 2012, Pages 212–217
نویسندگان
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