REBALANCE SCHEDULE OPTIMIZATION OF A LARGE SCALE PORTFOLIO UNDER TRANSACTION COST

Rebalance Schedule Optimization of a Large Scale Portfolio under Transaction Cost

This paper is concerned with an optimization problem associated with a rebalancing schedule of a large scale fund subject to nonconvex transaction cost. We will formulate this problem as a 0-1 mixed integer programming problem under linear constraints using absolute deviation as the measure of risk. This problem can be solved by an integer programming software if the size of the universe is sma...

Optimization of a Long-Short Portfolio under Nonconvex Transaction Cost

The purpose of this paper is to propose a practical branch and bound algorithm for solving a class of long-short portfolio optimization problem with concave and d.c. transaction cost and complementarity conditions on the variables. We will show that this algorithm can solve a problem of practical size and that the longshort strategy leads to a portfolio with significantly better risk-return str...

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 Under Fixed Transaction Costs

Portfolio Optimization under Transaction Costs in the Crr Model Portfolio Optimization under Transaction Costs in the Crr Model

In the CRR model we introduce a transaction cost structure which covers piecewise proportional, fixed and constant costs. For a general utility function we formulate the problem of maximizing the expected utility of terminal wealth as a Markov control problem. An existence result is given and optimal strategies can be described by solutions of the dynamic programming equation. For logarithmic u...