Inclusão de Custos de Transação Não-Lineares na Otimização
Média-Variância
Keyword(s):
In this article we propose a new way to include transaction costs into a mean-variance portfolio optimization. We consider brokerage fees, bid/ask spread and the market impact of the trade. A pragmatic algorithm is proposed, which approximates the optimal portfolio, and we can show that is converges in the absence of restrictions. Using Brazilian financial market data we compare our approximation algorithm with the results of a non-linear optimizer.
2014 ◽
Vol 233
(1)
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pp. 135-156
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2018 ◽
Vol 48
(2)
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pp. 91-111
2014 ◽
Vol 42
(1)
◽
pp. 91-107
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2011 ◽
Vol 5
(2A)
◽
pp. 798-823
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