VaR optimal portfolio with transaction costs

DOI10.1016/j.amc.2011.10.047zbMath1239.91150OpenAlexW2061217595MaRDI QIDQ427038

Andrea Rožnjik, Miles Kumaresan, Nataša Krejić

Publication date: 13 June 2012

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2011.10.047

zbMATH Keywords

portfolio optimizationtransaction costsmarket impactVaRsmoothing methodsSVaR

Mathematics Subject Classification ID

Related Items (14)

Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method ⋮ Uncertain random portfolio selection based on risk curve ⋮ Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach ⋮ Mean-risk model for uncertain portfolio selection with background risk ⋮ Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs ⋮ A low-cost alternating projection approach for a continuous formulation of convex and cardinality constrained optimization ⋮ A computational method to price with transaction costs under the nonlinear Black-Scholes model ⋮ Low order-value approach for solving var-constrained optimization problems ⋮ Uncertain portfolio selection with background risk ⋮ Mean-risk-skewness models for portfolio optimization based on uncertain measure ⋮ Twenty years of linear programming based portfolio optimization ⋮ A risk index to find the optimal uncertain random portfolio ⋮ A new uncertain random portfolio optimization model for complex systems with downside risks and diversification ⋮ LR Mixed Fuzzy Random Portfolio Choice Based on the Risk Curve

Cites Work

• Low order-value approach for solving var-constrained optimization problems
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• Portfolio selection and transactions costs
• Order-value optimization: formulation and solution by means of a primal Cauchy method
• A sample-path approach to optimal position liquidation
• Portfolio optimization with linear and fixed transaction costs
• Nonlinear-programming reformulation of the order-value optimization problem
• Optimal security liquidation algorithms
• Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
• Coherent Measures of Risk
• Large scale portfolio optimization with piecewise linear transaction costs
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• On the global minimization of the value-at-risk

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