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The Mean-semivariances Approach to Realistic Portfolio Optimization Subject to Transaction Costs

par Hamza, Faris ;Janssen, Jacques
Référence Applied stochastic models and data analysis, 14, 4, page (275-283)
Publication Publié, 1998-12

Article révisé par les pairs

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Résumé :

In this paper, we present a realistic portfolio optimization problem which takes into account real characteristics of the portfolio which are disregarded in most optimization models. These are different transaction costs, minimum transaction units and investor's current portfolio holding. In order to obtain a greater realism in our problem modelling, a set of binary variables and disjunctive constraints can be introduced. Finally, we show that separable programming techniques can be applied successfully for solving our problem. Copyright © 1998 John Wiley & Sons, Ltd.