✦ LIBER ✦

The mean-semivariances approach to realistic portfolio optimization subject to transaction costs

✍ Scribed by Hamza, F. ;Janssen, J.

Publisher: John Wiley and Sons
Year: 1998
Tongue: English
Weight: 87 KB
Volume: 14
Category: Article
ISSN: 8755-0024
DOI: 10.1002/(sici)1099-0747(199812)14:4<275::aid-asm364>3.0.co;2-p

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✦ Synopsis

In this paper, we present a realistic portfolio optimization problem which takes into account real characteristics of the portfolio which are disregarded in most optimization models. These are di!erent transaction costs, minimum transaction units and investor's current portfolio holding. In order to obtain a greater realism in our problem modelling, a set of binary variables and disjunctive constraints can be introduced. Finally, we show that separable programming techniques can be applied successfully for solving our problem.