A Portfolio Model with Quadratic Subsection Concave Transaction Costs Based on PSO
In this paper, the optimal portfolio selection problem with transaction costs is studied. In the previous study, the transaction cost is generally assumed as a V-shaped function of difference between the existing and the new portfolio. But, in this study, a portfolio selection model with quadratic subsection concave transaction costs is presented. Due to proposed model is a complex quadratic programming problem which cant be solved by exact algorithms efficiently, an improved particle swarm optimization (IPSO) is designed to solve it. Finally, a numerical example is given to illustrate our proposed effective approach and the performances of IPSO and standard genetic algorithm (SGA) are compared. Experiment results show that IPSO is clearly superior compared to a SGA.
Portfolio Selection Transaction Costs Improved Particle Swarm Optimization
Fasheng Xu Wei Chen
School of Science, Jinan University, Jinan, 250022, P.R. China School of Information, Capital University of Economics and Business, Beijing, 100070, China
国际会议
2009年中国控制与决策会议(2009 Chinese Control and Decision Conference)
广西桂林
英文
1895-1898
2009-06-17（万方平台首次上网日期，不代表论文的发表时间）