Large scale portfolio optimization with piecewise linear transaction costs

Large scale portfolio optimization with piecewise linear transaction costs

We consider the fundamental problem of computing an optimal portfolio based on a quadratic mean-variance model of the objective function and a given polyhedral representation of the constraints. The main departure from the classical quadratic programming formulation is the inclusion in the objective function of piecewise linear, separable functions representing the transaction costs. We handle ...

Portfolio optimization with linear and fixed transaction costs

We consider the problem of portfolio selection, with transaction costs and constraints on exposure to risk. Linear transaction costs, bounds on the variance of the return, and bounds on different shortfall probabilities are efficiently handled by convex optimization methods. For such problems, the globally optimal portfolio can be computed very rapidly. Portfolio optimization problems with tran...

network optimization with piecewise linear convex costs

the problem of finding the minimum cost multi-commodity flow in an undirected and completenetwork is studied when the link costs are piecewise linear and convex. the arc-path model and overflowmodel are presented to formulate the problem. the results suggest that the new overflow model outperformsthe classical arc-path model for this problem. the classical revised simplex, frank and wolf and a ...

Portfolio Optimization Under Fixed Transaction Costs

Network Optimization with Piecewise Linear Convex Costs

The problem of finding the minimum cost multi-commodity flow in an undirected and complete network is studied when the link costs are piecewise linear and convex. The arc-path model and overflow model are presented to formulate the problem. The results suggest that the new overflow model outperforms the classical arc-path model for this problem. The classical revised simplex, Frank and Wolf and...