Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
From MaRDI portal
Publication:439922
DOI10.1016/j.orl.2012.01.003zbMath1245.90074OpenAlexW2075545861MaRDI 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
stochastic programmingtransaction costsestimation riskprobabilistic Markowitzstochastic portfolio optimization
Related Items (8)
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 ⋮ Complex portfolio selection via convex mixed‐integer quadratic programming: a survey ⋮ Characterization of efficient frontier for mean-variance model with a drawdown constraint ⋮ Regularized stochastic dual dynamic programming for convex nonlinear optimization problems ⋮ Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs ⋮ 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
Cites Work
- Computing the nearest correlation matrix--a problem from finance
- Portfolio management with heuristic optimization.
- Second-order cone programming
- Robust asset allocation
- Portfolio optimization with linear and fixed transaction costs
- Conditional value-at-risk in stochastic programs with mixed-integer recourse
- An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
- Optimization Methods in Finance
- A FAST ALGORITHM FOR SOLVING LARGE SCALE MEAN-VARIANCE MODELS BY COMPACT FACTORIZATION OF COVARIANCE MATRICES
- Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
- A VaR Black–Litterman model for the construction of absolute return fund-of-funds
- Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
- A Stochastic Programming Model
- MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
- Robust Portfolio Selection Problems
- Safety First and the Holding of Assets
- Selecting portfolios with fixed costs and minimum transaction lots
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
