Mean-variance portfolio optimization problem under concave transaction costs and minimal transaction unit constraints

摘要：

This paper addresses itself to a mean-variance portfolio optimization problem under concave transaction costs and minimal transaction unit constraints. Associated with portfolio selection is a fee for purchasing assets. Unit transaction fee is larger as the amount of transaction is smaller,so the transaction cost can be expressed as a concave function up to the certain point. But the transaction cost function becomes convex beyond the certain bound when the amount of transaction increases. The unit price of assets increases due to illiquidity/market impact effects. Minimal transaction unit is required in some market,for example,in China. Therefore,for the problem,we present a nonlinear integer programming model and give a genetic algorithm based on integer genetic coding to solve the model. It is shown by a series of numerical experiments that the model is effective and the proposed algorithm can solve the problem for practical scale in acceptable time.

关键词： Portfolio optimization Nonlinear integer programming Concave transaction costs Minimal transaction unit constraint Genetic algorithm

作者: Gao Yuelin Li Yuhong

作者单位: Research Institute of Information and System Science,North National University,YinChuan 750021,China Research Institute of Information and System Science,North National University,YinChuan 750021,China

会议类型: 国际会议

会议名称: The First International Conference on Management Innovation(ICMI 2007)(管理创新会议)

会议地点: 上海

会议语种:英文

页码: 509-513

在线出版日期: 2007-06-04（万方平台首次上网日期，不代表论文的发表时间）