Variable Programming Approach to the Portfolio Selection under the Frictional Market

摘要：

This paper proposes a variable programming algorithm for computing a globally optimal solution of a portfolio construction problem under frictional market.We employ the absolute deviation of the rate of return as the measure of risk and solve minmax problems by introducing linear transaction cost functions.It is shown by numerical experiments that the approach can efficiently solve the practical problem.

关键词： portfolio theory MAD model long-short strategy variable programming

作者: Qi Wang Yan Gao

作者单位: College of Management,University of Shanghai for Science and Technology,Shanghai 200093,China;East C College of Management,University of Shanghai for Science and Technology,Shanghai 200093,China

会议类型: 国际会议

会议名称: 2008 International Conference on System Management(2008年系统管理学术研讨会)(2008 CSM)

会议地点: 上海

会议语种:英文

页码: 379-384

在线出版日期: 2008-05-30（万方平台首次上网日期，不代表论文的发表时间）