Transaction cost was an important factor in the financial *** to the situation of the underdeveloped market,we proposed a mean-variance portfolio selection model with nonsmooth concave transaction *** is nonsmooth pro...
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Transaction cost was an important factor in the financial *** to the situation of the underdeveloped market,we proposed a mean-variance portfolio selection model with nonsmooth concave transaction *** is nonsmooth programming *** paper proposed the subsection method and pivoting algorithm to solve it,and proved these algorithms ***,according to annual yields of six kinds of securities in eight years,we solved the mean-variance portfolio optimal strategy with nonsmooth concave transaction *** example was given to illustrate the efficiency of the algorithms,which offered a new way to solve the problems of nonsmooth programming.
A parametric algorithm is proposed to calculate efficient frontier of long-short *** key to the algorithm is to introduce parametric technique into the pivoting *** numerical results show that the algorithm has high c...
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A parametric algorithm is proposed to calculate efficient frontier of long-short *** key to the algorithm is to introduce parametric technique into the pivoting *** numerical results show that the algorithm has high computing efficiency.
A general portfolio optimization model was presented to take into account constraints of margin purchase and short selling, which can reflect realistic restrictions. A straightforward way of solving the model results ...
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A general portfolio optimization model was presented to take into account constraints of margin purchase and short selling, which can reflect realistic restrictions. A straightforward way of solving the model results in a 3n-demensional optimization problem with 3n additional constraints. A method called pivoting algorithm for solving the 3n-dimensional problem by solving a 2n-dimensional optimization problem was presented. The efficiency of the method was verified by computing the efficient frontier and optimal portfolio of an investing example about the general model.
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