Portfolio Optimization Model with Transaction Costs

2002 ◽  
Vol 18 (2) ◽  
pp. 231-248 ◽  
Author(s):  
Shu-ping Chen ◽  
Chong Li ◽  
Sheng-hong Li ◽  
Xiong-wei Wu
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Optimization Model ◽  
Portfolio Optimization Model

Constraint Tracking Error for Investment Portfolio Optimization Model and Algorithm of VaR in Additional Transaction Costs

2014 ◽  
Vol 543-547 ◽  
pp. 1811-1816 ◽  
Author(s):  
Dong Zheng ◽  
Xi Kun Liang
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Optimization Model ◽  
Tracking Error ◽  
Linear Matrix ◽  
Investment Portfolio ◽  
Expected Return ◽  
Portfolio Optimization Model ◽  
The One ◽  
Investment Portfolio Optimization

Based on the uncertainty of covariant matrix and value of expected return in risk assets, constraint tracking error for investment portfolio optimization model of VaR in additional transaction costs is constructed in this paper. The validity is proved by using the method of linear matrix inequality. According to empirical analysis, the results of different investment models are analyzed and compared with the one gotten by the method in this paper. It is concluded that the distribution of weights of the model in this paper is more reasonable and its final return is better than other models. Moreover, it may be closer to the modern financial markets for its transaction cost.

A portfolio optimization model for corporate bonds subject to credit risk

2004 ◽  
Vol 6 (2) ◽  
pp. 31-48 ◽  
Author(s):  
Nagisa Akutsu ◽  
Masaaki Kijima ◽  
Katsuya Komoribayashi
Keyword(s):  
Credit Risk ◽  
Portfolio Optimization ◽  
Optimization Model ◽  
Corporate Bonds ◽  
Portfolio Optimization Model

A mean-absolute deviation-skewness portfolio optimization model

1993 ◽  
Vol 45 (1) ◽  
pp. 205-220 ◽  
Author(s):  
Hiroshi Konno ◽  
Hiroshi Shirakawa ◽  
Hiroaki Yamazaki
Keyword(s):  
Portfolio Optimization ◽  
Optimization Model ◽  
Mean Absolute Deviation ◽  
Absolute Deviation ◽  
Portfolio Optimization Model
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